<PAGE>
[LOGO OF LINCOLN LIFE]
Multi Fund(R)
Variable Life
Semiannual
Report 1996
Form VUL25106-306SA 8/96
<PAGE>
Multi Fund(R) 1996 Semiannual Report (Unaudited)
Index
<TABLE>
<CAPTION>
<S> <C>
Statement of net assets:
Lincoln National Aggressive Growth Fund, Inc. (Aggressive Growth Fund) 11
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Lincoln National Bond Fund, Inc. (Bond Fund) 12
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Lincoln National Capital Appreciation Fund, Inc. (Capital Appreciation Fund) 14
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Lincoln National Equity-Income Fund, Inc. (Equity-Income Fund) 16
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Lincoln National Global Asset Allocation Fund, Inc. (Global Asset Allocation Fund) 20
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Lincoln National Gowth and Income Fund, Inc. (Growth and Income Fund) 27
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Lincoln National International Fund, Inc. (International Fund) 29
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Lincoln National Managed Fund, Inc. (Managed Fund) 31
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Lincoln National Money Market Fund, Inc. (Money Market Fund) 36
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Lincoln National Social Awareness Fund, Inc. (Social Awareness Fund) 37
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Lincoln National Special Opportunities Fund, Inc. (Special Opportunities Fund) 38
Statement of operations 42
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Statement of changes in net assets 44
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Notes to financial statements:
1. Significant accounting policies 46
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2. Other assets over (under liabilities) 48
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3. Management fees and other transactions with affiliates 49
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4. Analysis of net assets 49
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5. Investments 50
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6. Supplemental financial instrument information 50
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7. Concentration of credit risk 52
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8. Summary of changes from capital share transactions 53
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9. Distribution to shareholder 53
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10. Capital loss carryforward 53
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Financial highlights 54
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Delaware Group Premium Fund, Inc.-Equity/Income Series (Delaware Equity/Income) 56
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Delaware Group Premium Fund, Inc.-Emerging Growth Series
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(Delaware Emerging Group) 57
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Delaware Group Premium Fund, Inc.-Global Bond Series (Delaware Global Bond) 59
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</TABLE>
<PAGE>
[LOGO OF LINCOLN LIFE](TM)
August 1996
Dear Multi Fund(R) Variable Life policyowner:
This booklet contains the latest semiannual report of the Multi Fund(R) Variable
Life Account K, covering the six-month period ending June 30, 1996. The three
Delaware Series additions appear in your semiannual report for the first time
because they were added to Multi Fund Variable Life on May 1, 1996. The 11
underlying variable funds and the three Delaware Series are investment options
available to you under your variable universal life policy.
The following table shows the change in unit values of the subaccounts over
several time periods. The Delaware Series performance shown below is for the
time period of May 1 through June 30, 1996. All of these figures are slightly
different from those appearing later in this report, as they reflect the
deduction of asset charges associated with your policy. However, these results
do not reflect the cost of insurance protection, which varies for each insured.
Therefore, performance will be lower than the results shown below. For examples
of how the cost of insurance protection affects performance, refer to the
appendix to the prospectus labeled "Illustrations." For a personalized
illustration of how your policy values will vary under representative investment
returns, please contact your agent.
<TABLE>
<CAPTION>
Percent change in unit values/1/
Periods ending 6/30/96
------------------------------------------------------------
5-year average 10-year average
annual compound annual compound
Multi Fund(R) Variable Life subaccounts 6 months 1 year rate of return rate of return
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<S> <C> <C> <C> <C>
Aggressive Growth Fund 9.65% 26.39% 11.83/2/% 11.83/2/%
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Bond Fund -2.83 3.85 8.00 7.61
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Capital Appreciation Fund 10.40 25.80 15.77/2/ 15.77/2/
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Delaware Emerging Growth Series 3.74/2/ N/A N/A N/A
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Delaware Equity/Income Series 0.46/2/ N/A N/A N/A
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Delaware Global Bond Series 1.53/2/ N/A N/A N/A
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Equity Income Fund 8.59 23.50 18.39/2/ 18.39/2/
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Global Asset Allocation Fund 5.95 17.11 11.55 9.23/2/
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Growth and Income Fund 9.16 24.70 14.70 12.65
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International Fund 7.15 13.12 9.30 8.01/2/
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Managed Fund 4.12 15.81 11.02 9.89
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Money Market Fund 2.21 4.77 3.51 5.08
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Social Awareness Fund 12.26 34.39 16.53 15.66/2/
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Special Opportunities Fund 6.74 17.70 15.61 11.69
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</TABLE>
The next several pages contain performance and investment commentary from the
Multi Fund(R) investment management firms regarding each subaccount. The Multi
Fund(R) portfolio managers continue to use their expertise to obtain favorable
relative returns in any given market condition.
We invite you to read the accompanying reports, and we look forward to helping
you meet your long-term financial goals. If we can be of further assistance,
please call one of our customer service representatives on our toll free
number -- 1-800-348-0851.
Sincerely,
/s/ Reed P. Miller
Reed P. Miller
Vice President
1 All results shown represent the net invesment results of the funds (gross
investment results minus asset management charges and miscellaneous expenses)
minus the mortality and expense risk charges made by the Separate Account.
Where results shown include periods prior to the date the Separate Account
actually began investing in any fund, such results have been derived by reducing
the historic net investment results of the fund by the mortality and expense
risk charges that would have been applicable had the Separate Account been
investing in the fund during that period.
2 Reflects return for the lifetime of the fund, which is shorter than the
complete period.
The investment return and principal value of an investment may fluctuate so that
an investor's shares, when redeemed, may be worth more or less than the original
cost.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government, and there is no assurance that the subaccount will maintain a
stable $1.00 share price.
The risks associated with investing on a worldwide basis include differences in
regulation of financial data and reporting, currency exchange differences, as
well as economic and political systems which may be different from those in the
United States.
This material must be preceded or accompanied by a prospectus for the Lincoln
National Life Flexible Premium Variable Life Account K. Read the prospectus
carefully before you invest or send money.
<PAGE>
Aggressive Growth Fund
Managed by: [LOGO OF LYNCH & MAYER]
The fund's performance year-to-date has been strong. We outperformed our
benchmark, the S&P MidCap Index, during the first half of 1996. The strongest
performing sectors for the fund continue to be energy services and health care
stocks. Technology stocks have been weak, giving back some of their spectacular
gains achieved in 1995.
Without question, volatility in the stock market has increased. We believe this
is primarily due to profit-taking, the rise in long-term interest rates this
year and uncertainty about the strength of U.S. economic growth, particularly in
the second half of 1996. As investors ponder these and other variables (slowing
corporate profit growth among companies in the S&P 500, increased money flows
into mutual funds, relatively high stock valuations), the stock market
fluctuates significantly day-to-day.
As always, we remain focused on identifying companies undergoing significant
positive fundamental change. Over time, these companies' share prices are likely
to outperform the overall market.
We expect the market to correct at some point, given the huge gains that have
been made by investors in recent years and the fact that the S&P 500 has not
undergone a significant correction since 1990. We intend to use such periods of
volatility as opportunities to buy shares in companies with the strongest
fundamental outlooks.
Ed Petner
Bond Fund
Managed by: [LOGO OF LINCOLN INVESTMENT MANAGEMENT]
The economic and interest rate outlooks changed dramatically in the last six
months. The year began with a continued outlook for weak growth and the
potential for the Federal Reserve System to further lower rates. That soon
changed to an outlook for moderate growth and a potential for the Federal
Reserve System to increase interest rates. The result was a 1% increase in
interest rates. Although the duration of the fund's bond holdings was shortened
from 109% to approximately 104% of the index duration by the end of June,
duration did cause the fund to under perform the index in the first half of
1996.
The trend toward a gradual reduction in the fund's exposure to the corporate
bond sector continued. The narrow spread of corporate bonds makes it difficult
to find bonds that add value in this sector.
Economic signals continue to be very mixed, but it appears the economy is
growing at a moderate pace with stable inflation pressures. This should be good
for the bond market in the long run. Given this outlook for the economy and the
increase in interest rates that has already taken place this year, the fund
continues to have a slightly longer duration than the index. Our assumption is
that we are closer to the top of the range of interest rates than the bottom.
Tim Policinski
3
<PAGE>
Capital Appreciation Fund
Managed by: [LOGO OF JANUS]
During the second quarter, interest rates continued to bump up, putting pressure
on stocks. However, the Standard & Poor's 500 Index reached a new high in May
and finished the first half of 1996 up 10.2%. The market environment remained
volatile, and while we experienced good performance from a number of our
holdings, some of our large positions, many of which had enjoyed a good first
quarter, were flat during the last three months.
The bond and stock markets were volatile largely because investors remained
uncertain about the strength of the economy. Data in the areas of employment,
manufacturing, and auto and housing sales indicate vigorous growth. However,
commodity prices broke down during the period, which is good news for inflation.
Increasing consumer loan delinquencies also suggest retail spending may pull
back over the coming months.
Another factor roiling the markets is the extremely high level of expectations
for corporate earnings. High earnings expectations are typical after a sustained
rally in the market. But earnings have been so strong over the last few years
that companies are facing some tough comparisons going forward. With investor
expectations at such elevated levels, we expect market volatility to continue.
On the plus side, the financial markets are enjoying a period of incredible
liquidity. Individuals, pension funds and corporations are all enthusiastic
buyers of stock. So unless interest rates move higher, the equity market should
make progress, albeit with greater volatility in individual issues and
industries.
Perhaps the best overall performer during the quarter was a medical and
pharmaceutical supplier. Other good performers included companies that are
participating in outsourcing, a longstanding portfolio theme. Finally, we
remain committed to individual bank stocks. Instead of chasing low-quality
loans, the banks we own are all buying back their own stock which, as we have
argued for some time now, is a far better use of excess funds.
Although second-quarter performance was not as strong as in the first quarter,
we remain optimistic about the prospects for the growth stocks in the portfolio.
Companies with predictable earnings streams should continue to do well, despite
additional volatility. In summary, while the economy probably picked up momentum
in the second quarter, the evidence was inconclusive as to whether the current
strength will carry into the last half of the year. We will try to be
opportunistic, however, and take advantage of any volatility to buy stocks at
lower prices.
James P. Craig
Delaware Emerging Growth Series
Managed by: [LOGO OF DELAWARE GROUP]
A robust market for small-cap stocks helped the Emerging Growth Series provide a
strong total return for the two months ended June 30, 1996. The Series
outperformed the NASDAQ Industrial Index, an unmanaged portfolio of small and
mid-size companies that rose 12.6% in value during the first six months of the
year.
The Series strives to identify social and economic changes in the American
marketplace, then positions the portfolio in companies likely to profit from
these trends. The stock selection strategy is a "bottom-up" approach, meaning
the portfolio manager evaluates each company individually and decides whether to
buy it on its merits and ability to meet changing trends rather than broad
expectations for the economy or for the stock market.
4
<PAGE>
In in first half of 1996, the performance of the Series' small-cap stock
selections was led by companies in the gaming, solid waste and health care
industries. Generally, these companies have reported strong increases in
earnings relative to both competitors and large corporations.
The largest part of the Series' portfolio as of June 30 was in the stocks of
companies providing innovative consumer products and services. Between January
and June, many of these stocks benefited as government economic reports
suggested the pace of U.S. economic growth, and consequently consumer spending,
was accelerating.
We believe the U.S. dollar's value relative to other currencies will continue to
be strong, which should help the earnings growth of small companies remain
attractive relative to multinational companies. We have been finding companies
that meet our strict investment guidelines even as the stock market has weakened
from recent highs. However, our enthusiasm is tempered by the fact that small-
cap stocks trade at prices relative to earnings (PE) ratios that are 1.5 to 1.6
times that of large company PEs. Historically, small caps have traded at PEs
between 0.9 and 2.1 times that of large companies.
In all market environments, our approach to small company investing will remain
long-term and not dependent on a "top-down" assessment of government economic
statistics, the direction of interest rates or technical market indicators. We
prefer to trust what we see and hear first-hand from individuals who run
businesses, give them credit or buy their products and services.
Edward N. Antoian
Gerald S. Frey
Delaware Equity/Income Series
Managed by: [LOGO OF DELAWARE GROUP]
During the first six months of 1996, volatility in the U.S. stock market
increased as investors grew concerned about a possible increase in the level of
inflation, the direction of interest rates and the effect of currency
fluctuations on U.S.-based multinational companies.
Nevertheless, the Equity/Income Series' dividend-focused strategy provided
positive results. The management of the Equity/Income Series uses dividends
as a mechanism to earn income and uncover stocks; capital appreciation
potential.
To be considered for the portfolio, stocks must yield more than the average
yield of stocks in the S&P 500 Index. We believe above-average yields are a
strong indicator that a stock is undervalued. If the yield falls below the
average of the Index, management will begin to sell the stock. This helps us
make sell decisions involving "good companies" when a stock's capital
appreciation potential becomes limited.
During this time period, the Series benefited from holding stocks of large
industrial and consumer growth companies that paid above-average dividends.
Among the stocks management was attracted to were those of railroad and
pharmaceutical companies that appear well-positioned for the coming months.
Railroads are increasing their profitability by consolidating, while several
drug companies are bringing new products to market that we believe will increase
earnings.
Given the uncertainties that come with a presidential election year and the
market's lack of consensus about economic growth, we believe volatility is
likely to remain high for the balance of 1996. In such an environment, the
Series' dividend focus can benefit investors by providing income to mitigate,
though not eliminate, the effects of temporary market setbacks.
John B. Fields
5
<PAGE>
Delaware Global Bond Series
Managed by: [LOGO OF DELAWARE GROUP]
Since the Global Bond Series was offered on May 1, 1996, the potential returns
available from selected overseas government bond markets have been more
attractive than returns from U.S. government bond markets. U.S. bond investors
remain worried about possible higher inflation, a situation that has led to
increases in interest rates and a decline in domestic bond prices.
The Series relies on income potential as a key measure of value when selecting
bonds around the world. The Series' management team focuses on long-term
factors, such as trends in the prices of goods and services that can be analyzed
with reasonable certainty and are likely to have a fundamental effect on long-
term returns.
In the coming months, the Series' management expects to emphasize high-quality
government bonds in non-U.S. "dollar block" countries, such as Canada, Australia
and New Zealand, which have relatively stable economic systems.
The Series' management expects to avoid Japanese bonds because, as of this
writing, it appears the Japanese government will have to raise interest rates to
temper that country's increasingly rapid pace of economic recovery.
We are optimistic regarding the performance of the Canadian bond market in the
coming months. Positive economic reports suggest that increased inflation is not
on the horizon, as feared in America. Our initial results since May were helped
by the relatively strong performance of the Series' Canadian bond holdings.
Ian Sims
Equity-Income Fund
Managed by: [LOGO OF FIDELITY INVESTMENTS]
Through June 30, 1996, the Equity-Income Fund's performance narrowly trailed the
S&P 500's strong 10.2% gain in the same period.
Continued robust inflows into equity mutual funds and a pickup in economic
activity compared with investors' prior expectations contributed to the S&P
500's advance. These factors overcame both heightened inflation fears and
increased interest rates. During the period, the market environment was
characterized by rapid sector rotation. In the first quarter, most economically
sensitive stocks performed well. This benefited the fund's value-oriented style
of management. In the second quarter, however, investors shifted toward other
stocks, including those with steady earnings improvement prospects. This
generally favored growth-oriented investment management approaches.
Overall, market conditions have become more challenging to investors. Mutual
fund cash inflows have continued to buoy stocks. However, market breadth, the
measure of stocks participating in a market move, has shown some signs of
deterioration. In addition, real GDP already has grown for 18 consecutive
quarters on a year-over-year basis in a relatively subdued expansion with low-
growth volatility. In this environment, we continue to implement our investment
discipline, consistently seeking securities with the best relative valuations
and improvement potential on a stock-by-stock basis. Recent reductions and
eliminations have been driven primarily by profit-taking in positions following
their strong price appreciation rather than by any dramatic changes in the
outlooks for the companies.
Stephen R. Petersen
6
<PAGE>
Global Asset Allocation Fund
Managed by: [LOGO OF PUTNAM INVESTMENTS]
Early in 1996, the fund shifted to an underweight position in the U.S. bond
market with a corresponding overweight in foreign stock markets. This move
helped performance so far this year as U.S. bonds declined while international
stock markets rose. Also contributing to performance has been strong security in
each equity component of the portfolio as well as in international fixed income.
The aggressive stock component was an especially strong contributor to
performance as small company stocks returned more than 10% as measured by the
Russell 2000 Index and the aggressive stock portfolio outpaced that benchmark in
spite of the June pullback by that sector. Portfolio negatives so far in 1996
include underperformance by the U.S. bond component of the portfolio and a
slight underweight in U.S. stocks in January. This position was eliminated as
that market rallied strongly early in the year.
Our current capital markets outlook envisions synchronized global economic
growth in the second half of 1996 with a modest increase in inflation. The
United States should experience 3.0% or higher annualized real GDP growth in
1996. Continental European economies should begin to exhibit signs of economic
recovery and the Japanese economy will continue to pick up. This environment
would continue to support modest appreciation in global stock markets while
allowing bonds to trade within a relatively stable range. In our view, U.S.
markets are fairly priced, while many foreign stock markets appear attractive as
they are poised to benefit from a rise in economic growth in the latter half of
the year. As a result, we will favor stocks over cash and cash equivalents and
maintain our current bond positions. We will continue to closely monitor
economic developments both at home and abroad, and manage your portfolio in a
prudent and broadly diversified fashion.
William Landes, PhD
Growth and Income
Managed by: [LOGO OF VANTAGE GLOBAL ADVISORS]
This has proven to be a successful year for stock market investors so far. After
a 37.6% return for the S&P 500 in 1995, few could have reasonably expected the
same in 1996. Nevertheless, year-to-date returns for the S&P 500 are again above
historical averages, although not at 1995 levels.
Economic news influenced the markets as good news was bad for the bond market
and bad news was good. Signs of strength in the economy led investors to
anticipate that inflation might follow and the Federal Reserve might raise
short-term interest rates to combat rising prices. As a result, the bond market
dropped and interest rates rose. The yield on long-term government bonds rose
from 5.9% to over 7%.
The stock market charged forward despite higher interest rates as smaller stocks
outperformed larger stocks in the first half of 1996. The market was also fueled
by record-breaking flows into mutual funds. For the first six months of 1996,
almost as much flowed into equity mutual funds as did in all of 1995.
The market outlook for the rest of 1996 depends largely on corporate earnings.
If the economy continues to show signs of strength and corporate earnings
continue to grow, the market could continue its bull run. However, should the
Federal Reserve interpret economic growth as inflationary and, in turn, raise
interest rates, the market could respond negatively, ending the impressive bull
period we have enjoyed.
With the uncertainty of the equity market, investors have been rewarded for
remaining fully invested and maintaining a long-term perspective. The Growth &
Income Fund is designed to provide consistent equity exposure, remaining fully
invested to maximize longer-term returns.
T. Scott Wittman
7
<PAGE>
International Fund
Managed by: [LOGO OF CLAY FINLAY INC.]
With the exception of Japan, international markets have seen fairly strong
returns for the first half of 1996, with the most impressive results posted by
Scandinavia and southern Europe. The portfolio has outpaced the Index throughout
the period, with a large portion of the outperformance generated in the second
quarter.
Most European regions have seen strong performance in 1996 as holdings rebounded
from weakness in the fourth quarter of 1995. The United Kingdom, the
Deutschemark Block and southern Europe have added substantial value to the
portfolio, with returns doubling those of the MSCI World ex USA Index.
Performance in Scandinavia lagged that of the Index, but has rebounded in the
second quarter.
Exposure to Emerging Markets has been a positive contributor to results.
Particularly good performance during the first half of 1996 was turned in by
Brazil, India and South Korea. Returns in Japan were in line with the Index, but
remain disappointing in absolute terms, with the market appreciating less than
1% in U.S. dollar terms thus far in 1996. The much-anticipated recovery in
Japan appears under way but has not yet resulted in sustainable returns. There
is, however, hope for progress in the second half of the year.
Francis Finlay
Managed Fund
Managed by: [LOGO OF LINCOLN INVESTMENT MANAGEMENT]
The biggest surprise for the domestic capital markets has been the continued
strong equity gains despite the significant increase in bond yields. The S&P 500
is up over 10%, while smaller capitalized issues as represented by the Russell
2000 Index are also up over 10%. Unfortunately, the Lehman Brothers
Government/Corporate Bond Index was down well over 3% for much of the second
quarter. It recovered somewhat in June and closed down 1.9% for the first half
of 1996.
We entered 1996 with a somewhat bullish perspective on the fixed income market
as we anticipated a slowdown in economic activity together with benign
inflationary pressures. Our moderate inflation forecast has been on target, but
we were blindsided by the "apparent" strength in the economy. Nowhere was this
more evident than in the monthly non-agricultural employment statistics. On
March 8, for example, the market was prepared for an employment jump of 300,000
workers, but was decimated when the report showed an increase of 705,000. The
impact on the bond and stock markets was dramatic. Bonds suffered one of their
worst days in history, while the Dow Jones Industrial Average fell as much as
217 points before rebounding slightly to a loss of 171.
The monthly employment reports continued to wreak havoc in subsequent months.
June's employment report helped to push the 30-year Treasury above 7% and was
instrumental in the small-cap stock correction.
Going forward we think the inflationary threat is overblown. It is our view that
we should be entering a period where past interest rate increases will
ultimately slow the economy
8
<PAGE>
to a modest growth rate. Inflation should continue to remain under control. In
our fixed income portfolio the duration of our holdings are slightly longer than
our index (the Lehman Brothers Government/Corporate Bond Index) and will adjust
the portfolio if the yield curve flattens. As for equities, although valuation
is a concern, we still see some room for further gains.
Jay Yentis
Social Awareness Fund
Managed by: [LOGO OF VANTAGE GLOBAL ADVISORS]
Socially responsible investors have learned it is possible to earn a competitive
rate of return while investing in companies that do not violate positive social
values.
Early in the year, there was some uncertainty about the strength of the economy
and whether corporate profits, which had been so robust in 1995, would slow down
with the economy. Much to the surprise of many analysts on Wall Street, profits
for many companies exceeded expectations, driving those stocks upward.
Surprisingly, stocks that pay a high dividend did not perform well year-to-date,
despite the tendency for investors to flock to such stocks during troubled
economic times.
The economy has been showing signs of strength, including low unemployment and
higher wages. Should corporate earnings continue to grow with the support of
that economic strength, the bull market could charge ahead through the end of
the year. However, should the economic strength lead to inflation, the Federal
Reserve will likely respond by raising rates. Such a tightening action will not
impact the economy immediately but may cause investors to retreat from the
market, ending the bull run early.
The Social Awareness Fund is managed to control industry risk. However, due to
the companies that are eliminated for social reasons, the portfolio has some
industry biases compared to an unscreened portfolio. For example, the portfolio
has a lower weight in utility and aerospace companies due to their production of
nuclear power and weapons. Both utilities and aerospace companies underperformed
the S&P 500 year-to-date, and the portfolio's underexposure in these areas
helped relative performance. In contrast, the portfolio is overweighted in
retail stocks and consumer durables, both of which performed well.
T. Scott Wittman
Special Opportunities Fund
Managed by: [LOGO OF VANTAGE GLOBAL ADVISORS]
The stock market continued its remarkable bull rally into the first half of
1996. While stocks in general had a strong first half, all investors in the
market were not treated equally. For the first time in a number of years,
investors in aggressive equities have been treated to better performance than
more conservative investors. Small company growth funds outperformed large
company growth & income funds by over three percentage points.
The ride was wild for the small company investors! The Russell 2000, an Index
that is representative of small company equities, had a 20% range from trough
(Jan. 16) to peak (May 22). By midyear, it had settled back near the midpoint of
the range. Technology stocks led smaller stocks up and down, with a 25% range
from trough (Jan. 15) to peak (May 20). Thus, as technology went, so went small
companies.
While some analysts were forecasting a recession for 1996, economic news has
proven otherwise with low unemployment and higher wages. The
9
<PAGE>
economy may continue to grow steadily unless the higher wages begin to drive
prices upward. In such a case, the Federal Reserve may raise interest rates to
keep the economy under control, which may slow earnings in the long term and
tame the market over the short term. Given the long bull market in stocks, a
near-term correction would not be a surprise. However, longer term, equities
should continue to provide attractive returns for investors.
The Special Opportunities Fund participates in some of the upside of smaller
companies, but controls the downside by holding a diversified portfolio of
medium-sized companies. The resulting portfolio has some of the stability of
larger companies, while avoiding some of the troughs of small companies.
T. Scott Wittman
10
<PAGE>
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Number Market
COMMON STOCKS: of shares value
--------- ----------
<S> <C> <C>
BANKING AND INSURANCE: 2.9%
Conseco Inc. 105,800 $4,232,000
- ------------------------------------
Unum Corp. 24,000 1,494,000
- ------------------------------------ ----------
5,726,000
CHEMICALS: 2.0%
IMC Fertilizer Group Inc. 105,400 3,965,675
- ------------------------------------
COAL AND GAS: 2.8%
Benton Oil & Gas Co. * 95,800 2,113,588
- ------------------------------------
BJ Services Co. * 95,200 3,343,900
- ------------------------------------ ----------
5,457,488
CONSUMER PRODUCTS AND SERVICES: 4.8%
Omnicom Group Inc. 66,600 3,096,900
- ------------------------------------
Sola International Inc. 58,800 1,690,500
- ------------------------------------
Tommy Hilfiger Corp. 86,100 4,617,113
- ------------------------------------ ----------
9,404,513
DRUG AND HOSPITAL SUPPLIES: 5.5%
Biochem Pharmaceuticals Inc. * 98,800 3,698,825
- ------------------------------------
Biogen Inc. * 24,400 1,334,375
- ------------------------------------
Biovail Corp. International New * 22,000 687,500
- ------------------------------------
Liposome Inc. * 182,200 3,416,250
- ------------------------------------
Teva Pharmaceutical Industries Ltd. 41,900 1,589,581
- ------------------------------------ ----------
10,726,531
ELECTRICAL AND ELECTRONICS: 9.0%
Dynatech Corp. * 74,200 2,420,775
- ------------------------------------
Glenayre Technologies Inc. * 52,450 2,619,222
- ------------------------------------
Itron Inc. * 40,100 1,155,381
- ------------------------------------
Lexmark International Group Inc. * 100,000 2,012,500
- ------------------------------------
MEMC Electrical Materials Inc. * 41,300 1,600,375
- ------------------------------------
Octel Communications Corp. * 208,200 4,085,925
- ------------------------------------
Ucar International Inc. * 88,800 3,696,300
- ------------------------------------ ----------
17,590,478
ENTERTAINMENT: 2.1%
Regal Cinemas Inc. * 42,850 1,955,031
- ------------------------------------
Trump Hotels & Casino Resorts * 77,300 2,203,050
- ------------------------------------ ----------
4,158,081
FARM SUPPLIES: 1.1%
Pioneer Hi-Bred International Inc. 40,200 2,125,575
- ------------------------------------
FINANCE: 0.7%
Green Tree Financial Corp. 29,700 928,125
- ------------------------------------
MGIC Investment Corp. 9,000 505,125
- ------------------------------------ ----------
1,433,250
FINANCIAL SERVICES: 4.1%
Charter One Financial Inc. 87,000 3,028,688
- ------------------------------------
First USA Inc. 56,800 3,124,000
- ------------------------------------
Western National Corp. 98,900 1,817,288
- ------------------------------------ ----------
7,969,975
FOOD AND BEVERAGE: 4.6%
Coca Cola Enterprises Inc. 127,100 4,400,838
- ------------------------------------
Dole Food Inc. 107,100 4,605,300
- ------------------------------------ ----------
9,006,138
HEALTH AND PERSONAL CARE: 1.4%
Visx Inc. Del * 77,800 2,650,063
- ------------------------------------
HOSPITAL AND HEALTH CARE: 5.2%
Caremark International Inc. 143,700 3,628,425
- ------------------------------------
Centocor Inc. * 83,500 2,499,781
- ------------------------------------
HealthSouth Rehabilitation Corp. * 113,100 4,071,600
- ------------------------------------ ----------
10,199,806
HOTELS: 1.1%
Sun International Hotels Ltd. * 43,400 2,104,900
- ------------------------------------
MACHINERY AND ENGINEERING: 1.2%
Harnnischfeger Industries Inc. 70,200 2,334,150
- ------------------------------------
METALS AND MINING: 2.8%
Diamond Offshore Drilling Inc. * 61,008 3,492,708
- ------------------------------------
Potash Corp. of Saskatchewan 29,200 1,934,500
- ------------------------------------ ----------
5,427,208
MOTOR VEHICLES AND EQUIPMENT: 1.0%
Tower Automotive Inc. * 78,900 1,937,981
- ------------------------------------
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 12.1%
BMC Software Inc. * 56,700 3,380,738
- ------------------------------------
Cadence Design Systems Inc.* 94,450 3,187,688
- ------------------------------------
Career Horizons Inc. * 56,700 1,984,500
- ------------------------------------
Filenet Corp. * 49,100 1,767,600
- ------------------------------------
Oakley Inc. * 54,800 2,493,400
- ------------------------------------
Office Max Inc. * 77,900 1,859,863
- ------------------------------------
Paging Network Inc. * 129,200 3,076,575
- ------------------------------------
Parametric Technology Corp. * 67,200 2,910,600
- ------------------------------------
Storage Technologies Corp. * 75,200 2,876,400
- ------------------------------------ ----------
23,537,363
PETROLEUM AND PETROLEUM RELATED: 6.8%
Ensco International Inc. * 154,600 5,024,500
- ------------------------------------
Oryx Energy Co. * 107,900 1,753,375
- ------------------------------------
Reading & Bates Corp. * 152,200 3,367,425
- ------------------------------------
Triton Energy Ltd. 62,100 3,019,613
- ------------------------------------ ----------
13,164,913
PLASTICS: 0.5%
LCI International Inc. * 29,800 934,975
- ------------------------------------
RESTAURANT: 0.7%
CKE Restaurants Inc. 57,000 1,453,500
- ------------------------------------
RETAIL: 6.1%
Claire's Stores Inc. 160,950 4,446,244
- ------------------------------------
Proffitts Inc. * 51,200 1,824,000
- ------------------------------------
Staples Inc. * 125,325 2,436,005
- ------------------------------------
Sunglass Hut International Inc. * 27,800 675,888
- ------------------------------------
Zale Corp. 142,700 2,408,063
- ------------------------------------ ----------
11,790,198
SOAPS, CLEANER AND COSMETICS: 0.8%
Clorox Co. 18,500 1,639,563
- ------------------------------------
TELECOMMUNICATIONS: 2.1%
McLeod Inc. * 97,900 2,374,075
- ------------------------------------
MFS Communications Inc. * 47,400 1,780,463
- ------------------------------------ ----------
4,154,538
TRANSPORTATION: 2.8%
Fritz Companies Inc. * 70,700 2,280,075
- ------------------------------------
Wisconsin Central Transportation Corp. * 100,000 3,225,000
- ------------------------------------ ----------
5,505,075
TRUCKING COMPANIES: 1.8%
Tidewater Inc. 81,200 3,562,650
- ------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Market
value
------------
TOTAL COMMON STOCKS: 86.2%
(Cost $136,193,473) $167,960,585
- ---------------------------------------------
REPURCHASE AGREEMENT: Maturity
amount
-----------
<S> <C> <C>
State Street Bank and Trust Co. repurchase
agreement, dated 6/28/96, 4.75%, maturing
7/1/96 collateralized by U.S. Treasury
Notes 6.5%, 4/30/99. $ 26,542,000 26,542,000
- --------------------------------------------- ------------
TOTAL REPURCHASE AGREEMENT: 13.6%
(Cost $26,542,000) 26,542,000
- --------------------------------------------- ------------
TOTAL INVESTMENTS: 99.8%
(Cost $162,735,473) 194,502,585
- ---------------------------------------------
Other assets over liabilities: 0.2% 357,196
- --------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $13.158 per share based on
14,809,628 shares issued and outstanding) $194,859,781
- --------------------------------------------- ============
BOND FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: amount value
----------- ------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 34.2%
Federal Home Loan Mortgage Corp.
.6.3%, 4/8/99 $ 5,250,000 $ 5,221,178
.7.3%,12/15/12 2,984,588 2,927,284
.3.5%, 12/15/21 2,000,000 1,531,880
.6.4265%, 10/15/06 2,000,000 1,910,340
- ---------------------------------------------
FNMA
.7.56% Principal Strip, 12/20/01 4,000,000 3,886,040
.7.6%, 7/25/05 1,266,598 1,282,430
.6.8%, 8/1/05 949,389 925,208
.7.175%, 10/1/05 2,585,020 2,582,875
.6.665%, 11/1/05 994,943 959,373
.6.66%, 12/1/05 1,990,972 1,908,984
.7.0%, 4/12/06 6,000,000 4,821,540
.7.175%, 10/1/15 2,956,305 2,904,659
.8.0%, 4/1/17 391,600 398,363
.7.0%, 10/1/25 2,934,601 2,818,772
- ---------------------------------------------
GNMA
.9.0%, 5/15/17 241,176 255,186
.9.0%, 9/15/19 895,969 944,611
.6.5%, 11/15/23 924,950 869,564
- ---------------------------------------------
Tennessee Valley Authority Generic *
.0.0%, 11/1/00 9,500,000 7,150,935
- ---------------------------------------------
U.S. Treasury Bonds
.12.0%, 8/15/13 500,000 705,625
- ---------------------------------------------
U.S. Treasury Notes
.5.375%, 11/30/97 2,000,000 1,983,120
.6.375%, 5/15/99 11,800,000 11,829,500
.6.25%, 2/15/03 14,400,000 14,138,928
- ---------------------------------------------
U.S. Treasury Strips
.0.0%, 11/15/04 500,000 318,735
.0.0%, 11/15/09 21,000,000 8,239,560
.0.0%, 11/15/18 35,300,000 7,236,853
- --------------------------------------------- ------------
87,751,543
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.7%
Mid State Trust III
.9.625%, 4/1/22 295,498 300,285
- ---------------------------------------------
Prudential Home Mortgage
.6.7%, 11/25/07 1,500,000 1,472,085
- --------------------------------------------- ------------
1,772,370
AIR TRANSPORTATION: 2.7%
American Airlines Equipment Trust
.10.18%, 1/2/13 1,500,000 1,789,200
- ---------------------------------------------
Delta Air Lines Inc.
.8.25%, Med. Term Note, 12/27/07 1,500,000 1,610,385
- ---------------------------------------------
Federal Express Corp.
.7.96%, 3/28/17 2,000,000 2,005,280
- ---------------------------------------------
United Airline Inc. Equipment Trust
.9.35%, 4/7/16 1,500,000 1,618,080
- --------------------------------------------- ------------
7,022,945
ALUMINUM: 0.3%
Alcan Aluminum Ltd. - Debentures
.9.7%, 10/15/96 250,000 252,655
.8.875%, 1/15/22 500,000 530,805
- --------------------------------------------- ------------
783,460
BANKING AND INSURANCE: 8.2%
Ahmanson H F & Co.
.8.25%, 10/1/02 2,000,000 2,104,460
- ---------------------------------------------
Banc One Corp.
.9.875%, 3/1/09 500,000 597,510
- ---------------------------------------------
Barnett Banks Inc.
.6.5%, 9/1/05 1,500,000 1,454,040
- ---------------------------------------------
First America Bank Corp.
.7.75% Subordinated Note, 7/15/04 2,000,000 2,045,880
- ---------------------------------------------
First Bank System Inc.
.6.875% Subordinated Note, 9/15/07 1,000,000 956,300
- ---------------------------------------------
First Tennessee National Corp.
.6.75% Subordinated Note, 11/15/05 1,600,000 1,518,976
- ---------------------------------------------
First Union Corp.
.8.0%, 8/15/09 2,000,000 2,063,340
- ---------------------------------------------
First USA Bank
.5.75%, 1/15/99 2,000,000 1,950,700
- ---------------------------------------------
Fleet Financial Group
.7.65%, 9/1/99 1,000,000 1,016,410
- ---------------------------------------------
Fleet/Norstar Financial Group Inc.
.7.65%, 3/1/97 500,000 504,945
- ---------------------------------------------
Great Western Bank
.10.25% Subordinated Notes, 6/15/00 500,000 537,595
- ---------------------------------------------
Harris Bankcorp Inc.
.9.375% Subordinated Notes, 6/1/01 250,000 274,033
- ---------------------------------------------
National Westminster Bancorp
.3.69%, 7/30/49 3,000,000 2,617,500
- ---------------------------------------------
National Westminster Bank plc
.9.45% Debentures, 5/1/01 500,000 551,440
- ---------------------------------------------
Southtrust Bank Birmingham Alabama
.7.69%, 5/15/25 2,750,000 2,855,050
- --------------------------------------------- ------------
21,048,179
BROADCASTING: 0.2%
Viacom Inc.
.8.75%, 5/15/01 500,000 506,250
- ---------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount value
----------- ------------
<S> <C> <C>
BUILDING MATERIALS: 0.4%
Georgia Pacific Corp.
.10.1%, 6/15/02 $ 1,000,000 $ 1,132,470
- ---------------------------------------------
CONSUMER PRODUCTS AND SERVICES: 0.4%
Service Corp. International
.7.0% Senior Note, 6/1/15 1,000,000 1,004,220
- ---------------------------------------------
ELECTRICAL AND ELECTRONICS: 0.6%
Litton Industries Inc.
.6.98% Senior Debenture, 3/15/36 1,000,000 974,500
- ---------------------------------------------
Spiegel Charge Account Trust 2
.6.95%, 12/17/01 500,000 504,130
- --------------------------------------------- ------------
1,478,630
ENTERTAINMENT: 0.8%
Time Warner Inc.
.8.88%, 10/1/12 500,000 516,370
.9.125%, 1/15/13 1,500,000 1,567,230
- --------------------------------------------- ------------
2,083,600
FINANCE: 5.7%
Aristar Finance
.7.5% Senior Subordinated Note, 7/1/99 1,500,000 1,533,915
- ---------------------------------------------
Avco Financial Services Inc.
.7.25%, 7/15/99 1,000,000 1,016,930
- ---------------------------------------------
Chrysler Financial Corp.
.9.5%, 12/15/99 1,500,000 1,624,440
- ---------------------------------------------
Discover Credit Corp.
.8.73% Med. Term Note, 8/15/96 500,000 501,930
- ---------------------------------------------
Dow Capital B V
.9.0%, 5/15/10 3,000,000 3,344,700
- ---------------------------------------------
General Motors Acceptance Corp.
.8.88%, 6/1/10 1,500,000 1,651,395
- ---------------------------------------------
Household Affinity Credit Card
.6.05%, 5/15/01 1,000,000 976,650
- ---------------------------------------------
Household Finance Corp.
.9.63% Senior Subordinated Note, 7/15/00 875,000 957,119
- ---------------------------------------------
International Lease Finance Co.
.8.25%, 1/15/00 2,000,000 2,086,780
- ---------------------------------------------
Salomon Inc.
.7.25%, 1/15/00 1,000,000 1,004,260
- --------------------------------------------- ------------
14,698,119
FINANCIAL SERVICES: 2.1%
AT & T Capital Corp.
.7.47%, 5/11/05 2,750,000 2,763,998
- ---------------------------------------------
Finova Capital Corp.
.6.12% Med. Term Note, 5/28/02 1,000,000 951,410
- ---------------------------------------------
General Motors Acceptance Corp.
.7.875% Med. Term Note, 3/7/01 1,500,000 1,553,355
- --------------------------------------------- ------------
5,268,763
FOOD AND BEVERAGE: 0.7%
ConAgra Inc.
.9.88%, 11/15/05 1,000,000 1,149,610
- ---------------------------------------------
Nabisco Inc.
.7.55%, 6/15/15 750,000 719,085
- --------------------------------------------- ------------
1,868,695
FOREIGN GOVERNMENT: 1.9%
Hydro-Quebec
.7.2% Med. Term Note, 10/5/09 3,000,000 3,215,730
- ---------------------------------------------
Manitoba (Province of)
.7.75%, 7/17/16 1,500,000 1,554,210
------------
4,769,940
MACHINERY AND ENGINEERING: 0.8%
Deere & Co.
.8.27%, 8/8/95 2,000,000 2,163,820
- ---------------------------------------------
METALS AND MINING: 3.1%
Cyprus Amax Minerals Co.
.7.375%, 5/15/07 2,500,000 2,446,550
- ---------------------------------------------
Inco Ltd.
.9.6% Debenture, 6/15/22 1,300,000 1,400,321
- ---------------------------------------------
Newmont Gold Co.
.8.91%, 1/5/09 750,000 797,205
- ---------------------------------------------
Noranda Inc.
.8.13%, 6/15/04 2,000,000 2,088,220
- ---------------------------------------------
Placer Dome Inc.
.7.37% Med. Term Note, 6/3/26 1,000,000 1,003,380
- ---------------------------------------------
Reynolds Metals Co.
.9.0%, 8/15/03 250,000 272,708
- --------------------------------------------- ------------
8,008,384
MISCELLANEOUS: 1.0%
Duquesne II Funding Corp.
.8.7%, 6/1/16 2,474,000 2,532,337
- ---------------------------------------------
MOTOR VEHICLES AND EQUIPMENT: 0.3%
General Motors Corp.
.8.17%, 1/2/00 862,153 878,706
- ---------------------------------------------
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 0.2%
Xerox Corp. - Euronote
.8.375%, 9/25/96 500,000 501,085
- ---------------------------------------------
PAPER: 1.3%
Champion International Corp.
.7.7%, 12/15/99 1,500,000 1,537,815
- ---------------------------------------------
James River Corp.
.6.7%, 11/15/03 2,000,000 1,919,700
- --------------------------------------------- ------------
3,457,515
PETROLEUM AND PETROLEUM RELATED: 2.1%
Arkla Inc.
.11/15/19, 10.0% 1,000,000 1,089,670
- ---------------------------------------------
Atlantic Richfield Co.
.10.25% Eurobond, 7/2/00 1,000,000 1,050,420
- ---------------------------------------------
Enron Corp.
.9.5%, 6/15/01 1,000,000 1,100,840
- ---------------------------------------------
Noble Affiliates Inc.
.7.25%, 10/15/23 600,000 541,068
- ---------------------------------------------
Petro Canada - Debentures
.8.6%, 10/15/01 1,500,000 1,610,220
- --------------------------------------------- ------------
5,392,218
PUBLIC UTILITIES: 12.3%
Central Maine Power Co.
.6.5%, 7/22/97 1,500,000 1,494,780
- ---------------------------------------------
Cleveland Electric Illuminating Co.
.8.26% Med. Term Note, 10/30/98 2,500,000 2,495,500
- ---------------------------------------------
Commonwealth Edison Co.
.9.375%, 2/15/00 500,000 534,835
- ---------------------------------------------
Consumers Power Co.
.8.75% 1st Mortgage, 2/15/98 1,000,000 1,027,400
- ---------------------------------------------
Consumers Power Co.
.8.875% 1st Mortgage, 11/15/99 1,000,000 1,049,830
- ---------------------------------------------
Detroit Edison Co.
.6.56%, 5/1/01 2,000,000 1,953,740
- ---------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount value
------------ ------------
<S> <C> <C>
Great Lakes Power Inc.
.9.0%, 8/1/04 $ 1,500,000 $ 1,612,665
- -------------------------------------------------
Illinois Power Co.
.5.85% 1st Mortgage Bonds, 10/1/96 625,000 625,000
- -------------------------------------------------
National Rural Utilities Cooperative Finance Corp.
.7.2%, 10/1/15 1,000,000 955,400
- -------------------------------------------------
Nevada Power Co.
.7.06%, 5/1/00 1,500,000 1,497,900
- -------------------------------------------------
New Jersey Bell Telephone
.7.85%, 11/15/29 1,950,000 2,109,140
- -------------------------------------------------
Old Dominion Electric Co-op SE
.8.76%, 12/1/22 1,600,000 1,728,768
- -------------------------------------------------
Pacificorp
.9.15% Med. Term Note, 8/9/11 2,000,000 2,297,040
- -------------------------------------------------
Pennsylvania Power & Light
.7.7%, 10/1/09 3,000,000 3,105,420
- -------------------------------------------------
PSI Energy Inc.
.8.56% Med. Term Note, 12/27/11 2,000,000 2,142,700
- -------------------------------------------------
Public Service Co. of Colorado
.6.375%, 11/1/05 1,500,000 1,393,035
- -------------------------------------------------
Texas Gas Transmission Corp.
.8.63%, 4/4/04 1,000,000 1,077,290
- -------------------------------------------------
Utilicorp United Inc.
.10.5%, 12/1/20 2,000,000 2,280,580
- -------------------------------------------------
Washington Water & Power Co.
.8.01%, 12/17/01 2,000,000 2,087,660
- ------------------------------------------------- ------------
31,468,683
RAILROADS: 0.7%
Burlington Northern Railroad
.6.94%, 1/2/14 500,000 484,925
- -------------------------------------------------
Chicago & Northwestern Holdings Corp.
.6.25%, 7/30/12 1,457,297 1,349,777
- ------------------------------------------------- ------------
1,834,702
RETAIL: 1.1%
Dayton Hudson Corp.
.10.0 % Debenture, 1/1/11 500,000 610,130
- -------------------------------------------------
Sears, Roebuck & Co.
.9.05%, 2/6/12 2,000,000 2,264,100
- ------------------------------------------------- ------------
2,874,230
SAVINGS AND LOAN: 0.4%
First Security Corp.
.7.0%, 7/15/05 1,000,000 968,140
- -------------------------------------------------
SECURITIES DEALERS: 1.6%
Lehman Brothers Holding Co.
.8.875% Senior Note, 3/1/02 1,000,000 1,071,170
- -------------------------------------------------
Smith Barney Holdings
.7.88%, 10/1/99 3,000,000 3,096,720
- ------------------------------------------------- ------------
4,167,890
TELECOMMUNICATIONS: 5.1%
Bellsouth Telecommunications Corp. Euro
.6.125%, 9/23/08 3,000,000 2,686,875
- -------------------------------------------------
Cable And Wireless plc Euro
.6.5% Senior Debenture, 12/16/03 1,500,000 1,414,688
- -------------------------------------------------
GTE Hawaiian Telephone Co. Inc.
.7.0% Senior Debenture, 2/1/06 2,000,000 1,935,120
- -------------------------------------------------
Nynex Corp.
.7.63%, 10/15/09 3,000,000 3,137,190
.9.55% Debentures, 5/1/10 1,549,360 1,728,404
- -------------------------------------------------
Rochester Telephone Corp.
.9.0% Med. Term Note, 7/19/00 2,000,000 2,144,180
- ------------------------------------------------- ------------
13,046,457
TOTAL LONG-TERM DEBT INVESTMENTS: 89.0%
(Cost $227,124,483) $228,483,349
MONEY MARKET INSTRUMENTS:
G.E. Capital Corp.
.5.37%, 7/8/96 $ 4,000,000 3,993,437
- -------------------------------------------------
Merrill Lynch
.5.499%, 7/1/96 6,400,000 6,393,342
.5.554%, 7/8/96 4,000,000 3,992,800
- -------------------------------------------------
UBS Finance Inc.
.5.39%, 7/2/96 10,400,000 10,389,100
- -------------------------------------------------
United States Treasury Note
.6.5%, 9/3/96 3,000,000 3,009,360
- -------------------------------------------------
U.S. West Communications Group
.5.43%, 7/9/96 5,300,000 5,291,206
- ------------------------------------------------- ------------
TOTAL MONEY MARKET INSTRUMENTS: 12.9%
(Cost $33,069,047) 33,069,245
- ------------------------------------------------- ------------
TOTAL INVESTMENTS: 101.9%
(Cost $260,193,530) 261,552,594
- -------------------------------------------------
Other assets under liabilities: (1.9)% (4,759,727)
- ------------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $11.555 per share based on
22,223,613 shares issued and outstanding) $256,792,867
- ------------------------------------------------- ============
CAPITAL APPRECIATION FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Number Market
COMMON STOCKS: of shares value
----------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 0.5%
FNMA 29,600 $ 991,600
- -------------------------------------------------
AEROSPACE: 5.4%
Allied Signal Inc. 14,075 804,034
- -------------------------------------------------
Boeing Co. 54,175 4,719,997
- -------------------------------------------------
Textron Inc. 15,000 1,198,125
- -------------------------------------------------
United Technologies Corp. 33,000 3,795,000
- ------------------------------------------------- ------------
10,517,156
AIR TRANSPORTATION: 0.7%
AMR Corp. * 15,825 1,440,075
- -------------------------------------------------
BANKING AND INSURANCE: 13.7%
Bank of New York Inc. 71,650 3,672,063
- -------------------------------------------------
Barclays plc (UK) 110,507 1,325,775
- -------------------------------------------------
BCO Popular Esp (Spain) 3,083 550,101
- -------------------------------------------------
Citicorp 66,750 5,515,219
- -------------------------------------------------
Conseco Inc. 21,450 858,000
- -------------------------------------------------
Corestates Financial Corp. 14,225 547,663
- -------------------------------------------------
First Chicago NBD Corp. 22,400 876,400
- -------------------------------------------------
Protective Life Corp. 20,000 702,500
- -------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
-------------- ------------
<S> <C> <C>
Travelers Inc. 21,075 $ 961,547
- ----------------------------------------
Unum Corp. 76,100 4,737,225
- ----------------------------------------
Wells Fargo & Co. 28,516 6,811,760
- ---------------------------------------- ----------
26,558,252
BROADCASTING: 1.3%
Heritage Media Corp. * 20,000 797,500
- ----------------------------------------
United States Satellite Broadcasting * 44,275 1,665,847
- ---------------------------------------- ----------
2,463,347
BUILDING MATERIALS: 0.1%
Dover Corp. 5,000 230,625
- ----------------------------------------
CHEMICALS: 4.5%
Cytec Industries Inc. * 16,275 1,391,513
- ----------------------------------------
Hercules Inc. 18,425 1,017,981
- ----------------------------------------
Monsanto Corp. 50,000 1,625,000
- ----------------------------------------
Praxair Inc. 22,650 956,963
- ----------------------------------------
Rentokil Group (UK) 308,288 1,955,826
- ----------------------------------------
W.R. Grace & Co. 25,150 1,782,506
- ---------------------------------------- ----------
8,729,789
CONSUMER PRODUCTS AND SERVICES: 2.1%
Coleman Co. Inc. * 28,925 1,225,697
- ----------------------------------------
Johnson & Johnson 22,850 1,131,075
- ----------------------------------------
Magna International Inc. 26,900 1,237,400
- ----------------------------------------
Pagnossin Spa (Italy) 78,465 443,247
- ---------------------------------------- ---------
4,037,419
DRUG AND HOSPITAL SUPPLIES: 10.0%
Baxter International Inc. 20,000 945,000
- ----------------------------------------
Boston Scientific Corp. * 43,800 1,971,000
- ----------------------------------------
Cardinal Health Inc. 44,000 3,173,500
- ----------------------------------------
Lilly (Eli) & Co. 66,050 4,293,250
- ----------------------------------------
Luxottica Group S P A 12,100 887,838
- ----------------------------------------
Medtronic Inc. 15,675 877,800
- ----------------------------------------
Nellcor Inc. * 18,125 881,328
- ----------------------------------------
Omnicare Inc. 32,750 867,875
- ----------------------------------------
Pfizer Inc. 44,175 3,152,991
- ----------------------------------------
Smithkline Beecham plc 43,500 2,365,313
- ---------------------------------------- ----------
19,415,894
ELECTRICAL AND ELECTRONICS: 1.8%
Eletronics For Imaging Inc. * 26,225 1,820,998
- ----------------------------------------
Pittway Corp. 19,687 915,446
- ----------------------------------------
Ucar International Inc. * 20,000 832,500
- ---------------------------------------- ----------
3,568,944
ENTERTAINMENT: 2.0%
Circus Circus Enterprises Inc. * 47,425 1,944,425
- ----------------------------------------
Grand Casinos Inc. 29,650 763,488
- ----------------------------------------
International Game Technology 28,750 485,156
- ----------------------------------------
Mattel Inc. 25,537 730,997
- ---------------------------------------- ----------
3,924,065
FINANCE: 0.3%
HFNC Financial Corp. * 29,675 487,783
- ----------------------------------------
FINANCIAL SERVICES: 1.1%
Associates First Capital Corp.* 55,125 2,074,078
- ----------------------------------------
AT & T Capital Corp. 1,775 77,656
- ---------------------------------------- ----------
2,151,734
FOOD AND BEVERAGE: 2.9%
Campbell Soup Co. 27,750 1,956,375
- ----------------------------------------
Coca Cola Co. 20,450 585,381
- ----------------------------------------
Kellogg Co. 25,100 1,838,575
- ----------------------------------------
Pan American Beverage 26,175 1,171,331
- ---------------------------------------- ----------
5,551,663
Number Market
of shares value
-------------- ------------
<S> <C> <C>
HEALTH AND PERSONAL CARE: 1.2%
Glaxo Wellcome plc 2,325 $ 62,194
- ----------------------------------------
Glaxo Wellcome (UK) 35,422 476,951
- ----------------------------------------
Roche Holdings AG - Warrants (Switzerland) 242 1,847,616
- ---------------------------------------- ----------
2,386,761
HOSPITAL AND HEALTH CARE: 1.0%
Centocor Inc. * 22,125 662,367
- ----------------------------------------
HealthSouth Rehabilitation Corp. * 11,175 402,300
- ----------------------------------------
Medaphis Corp. * 775 30,031
- ----------------------------------------
Olsten Corp 26,800 787,250
- ---------------------------------------- ----------
1,881,948
HOTELS: 0.3%
Extended Stay America Inc. * 19,075 598,478
- ----------------------------------------
HOUSEHOLD APPLIANCES: 0.2%
Singer Co. N V 18,225 369,056
- ----------------------------------------
INDUSTRIAL: 0.3%
Sundstrand Corp. 18,175 665,659
- ----------------------------------------
METALS AND MINING: 0.7%
Minerals Technologies Inc. 40,475 1,386,269
- ----------------------------------------
MISCELLANEOUS: 0.6%
Cifra S.A. DE CV * 46,100 65,397
- ----------------------------------------
Sealed Air Corp. * 34,700 1,166,788
- ---------------------------------------- ----------
1,232,184
MOTOR VEHICLES AND EQUIPMENT: 2.2%
General Motors Corp. 44,025 2,305,809
- ----------------------------------------
General Motors Corp. Series H 21,225 1,276,153
- ----------------------------------------
Honda Motor Co. (Japan) 27,000 701,138
- ---------------------------------------- ----------
4,283,101
OFFICE AND BUSINESS EQUIPMENT AND SERVICE:
Adia S.A. (Switzerland) 1,217 305,661
- ----------------------------------------
Cisco Systems Inc. * 82,175 4,658,295
- ----------------------------------------
Computer Associates International Inc. 25,875 1,843,594
- ----------------------------------------
Computer Sciences Corp. * 60,825 4,546,669
- ----------------------------------------
Danka Business Systems 24,875 726,039
- ----------------------------------------
Electronic Data Sys Corp. New 121,250 6,517,188
- ----------------------------------------
First Data Corp. 102,475 8,159,573
- ----------------------------------------
Gtech Holdings Corp. * 28,475 843,572
- ----------------------------------------
Hays (UK) 10,247 72,249
- ----------------------------------------
Manpower Inc. 17,050 669,213
- ----------------------------------------
Oce V/D Grinten NV (Netherlands) 26,301 2,788,168
- ----------------------------------------
Paging Network Inc. * 39,000 928,688
- ----------------------------------------
Parametric Technology Corp. * 5,050 218,728
- ----------------------------------------
Robert Half International Inc. * 97,300 2,712,238
- ----------------------------------------
SAP AG (Germany) 26,610 3,946,435
- ----------------------------------------
Sun Guard Data Systems * 31,075 1,244,942
- ----------------------------------------
Sun Microsystems Inc. 20,000 1,177,500
- ---------------------------------------- ----------
41,358,751
PAPER: 1.9%
Alco Standard Corp. 81,150 3,672,038
- ----------------------------------------
PETROLEUM AND PETROLEUM RELATED: 1.2%
Triton Energy Ltd. * 22,000 1,069,750
- ----------------------------------------
Witco Corp. 37,925 1,303,672
- ---------------------------------------- ----------
2,373,422
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- ------------
<S> <C> <C>
PRINTING AND PUBLISHING: 2.0%
Reuters Holdings plc 13,425 $ 972,473
- ---------------------------------------------------------
Wolters Kluwer NV (Netherlands) 25,490 2,897,984
- --------------------------------------------------------- ------------
3,870,457
RAILROADS: 1.0%
Burlington Northern Santa Fe 24,457 1,977,960
- ---------------------------------------------------------
RETAIL: 0.4%
Credit Saison Co. (Japan) 13,000 315,000
- ---------------------------------------------------------
Newell Co. 15,000 459,375
- --------------------------------------------------------- ------------
774,375
SOAPS, CLEANER AND COSMETICS: 0.2%
Colgate-Palmolive Co. 3,650 309,338
- ---------------------------------------------------------
TELECOMMUNICATIONS: 3.4%
360 Communications Co. 25,000 600,000
- ---------------------------------------------------------
Cincinnati Bell Inc. 12,500 651,563
- ---------------------------------------------------------
MFS Communications Inc. * 118,075 4,435,192
- ---------------------------------------------------------
Teleport Communications Group * 50,000 950,000
- --------------------------------------------------------- ------------
6,636,755
TEXTILES-APPAREL MANUFACTURING: 0.2%
Cintas Corp. 5,975 317,422
- --------------------------------------------------------- ------------
TOTAL COMMON STOCKS: 84.9%
(Cost $139,513,583) 164,162,319
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Par
MONEY MARKET INSTRUMENTS: amount
--------------
<S> <C> <C>
Federal Home Loan Mortgage
. 5.23%, 7/15/96 $ 8,000,000 7,984,587
- ---------------------------------------------------------
Ford Motor Credit Co.
. 5.36%, 7/2/96 3,000,000 2,999,553
- ---------------------------------------------------------
General Electric Capital Corp.
. 5.35%, 7/2/96 9,000,000 8,998,663
- ---------------------------------------------------------
Household Finance Corp.
. 5.5%, 7/1/96 9,400,000 9,400,000
- --------------------------------------------------------- ------------
TOTAL MONEY MARKET INSTRUMENTS: 15.2%
(Cost $29,381,945) 29,382,803
- --------------------------------------------------------- ------------
TOTAL INVESTMENTS: 100.1%
(Cost $168,895,528) 193,545,122
- ---------------------------------------------------------
Other assets under liabilities: (0.1)% (147,993)
- --------------------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $13.613 per share based on
14,206,938 shares issued and outstanding) $193,397,129
- --------------------------------------------------------- ============
</TABLE>
<TABLE>
<CAPTION>
EQUITY INCOME FUND
Statement of net assets - unaudited
June 30, 1996
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: amount value
-------- --------
<S> <C> <C>
AIR TRANSPORTATION: 0.1%
Continental Airlines Inc.
. 6.75%, 4/15/06 $320,000 $379,200
- ---------------------------------------------------------
BANKING AND INSURANCE: 0.4%
Fremont General Corp. - Liquid Yield Option
. 0.01%, 10/12/13 2,710,000 1,246,600
- ---------------------------------------------------------
Sumitomo Bank Inte (Japan)
. 0.75%, 5/31/01 30,000,000 296,256
- --------------------------------------------------------- ------------
1,542,856
BROADCASTING: 0.1%
Jacor Communications Inc. *
. 0.0%, 6/12/11 100,000 47,000
- ---------------------------------------------------------
Rogers Communications Inc.
. 2.0%, 11/26/05 220,000 113,850
. 0.01%, 5/20/13 130,000 46,638
- --------------------------------------------------------- ------------
207,488
CONSUMER PRODUCTS AND SERVICES: 0.3%
Comcast Corp.
. 1.13%, 4/15/07 660,000 322,575
- ---------------------------------------------------------
Softkey International Inc.
. 5.5%, 11/1/00 770,000 616,000
- --------------------------------------------------------- ------------
938,575
ELECTRICAL AND ELECTRONICS: 0.3%
Silicon Graphics Inc.
. 0.01%, 11/02/13 1,030,000 525,300
- ---------------------------------------------------------
Unisys Corp.
. 8.25%, 8/1/00 510,000 495,338
- --------------------------------------------------------- ------------
1,020,638
ENTERTAINMENT: 0.2%
Time Warner Inc.
. 0.0%, 6/22/13 1,320,000 551,100
- ---------------------------------------------------------
FINANCE: 0.5%
Horsham Corp. (Canada)
. 3.0%, 1/29/21 240,000 225,600
- ---------------------------------------------------------
MBL International Financial Bermuda Trust
. 3.0%, 11/30/02 1,200,000 1,395,000
- --------------------------------------------------------- ------------
1,620,600
HOTELS: 0.1%
Hilton Hotels Corp.
. 5.0%, 5/15/06 190,000 199,025
- ---------------------------------------------------------
MACHINERY AND ENGINEERING: 0.2%
Outboard Marine Corp.
. 7.0%, 7/1/02 670,000 671,675
- ---------------------------------------------------------
METALS AND MINING: 0.1%
Pegasus Gold Inc.
. 6.25%, 4/30/02 180,000 184,725
- ---------------------------------------------------------
MISCELLANEOUS: 0.1%
ADT Operations Inc.
. 0.01%, 7/6/10 380,000 207,575
- ---------------------------------------------------------
News America Holdings Inc.
. 0.0%, 3/11/23 360,000 173,250
- --------------------------------------------------------- ------------
380,825
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 0.3%
Apple Computer Inc.
. 6.0%, 6/1/01 600,000 570,000
- ---------------------------------------------------------
Automatic Data Processing Inc.
. 0.01%, 2/20/12 480,000 238,800
- ---------------------------------------------------------
Unisys Corp.
. 8.25%, 3/15/06 300,000 366,000
- --------------------------------------------------------- ------------
1,174,800
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount value
-------------- ------------
<S> <C> <C>
PETROLEUM AND PETROLEUM RELATED: 0.7%
Pennzoil Co.
. 6.5%, 1/15/03 $ 1,860,000 $ 2,610,975
- ---------------------------------------------------------
REAL ESTATE: 0.0%
Liberty Property Ltd. Partnership
. 1.0%, 7/1/01 10,000 10,325
- ---------------------------------------------------------
RETAIL: 0.3%
Baker J. Inc.
. 7.0%, 6/1/02 260,000 213,525
- ---------------------------------------------------------
Federated Department Stores Inc.
. 5.0%, 10/1/03 720,000 835,200
- --------------------------------------------------------- ------------
1,048,725
TELECOMMUNICATIONS: 0.0%
Home Shopping Network Inc.
. 5.875%, 3/1/06 120,000 138,000
- ---------------------------------------------------------
WASTE MANAGEMENT: 0.2%
WMX Technologies Inc.
. 2.0%, 1/24/05 708,000 637,200
- --------------------------------------------------------- ------------
TOTAL LONG-TERM DEBT INVESTMENTS: 3.8%
(Cost $12,889,029) 13,316,731
- ---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
COMMON STOCKS: Number
of shares
---------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 2.2%
FNMA 232,000 7,772,000
- ---------------------------------------------------------
AEROSPACE: 4.2%
Allied Signal Inc. 42,000 2,399,250
- ---------------------------------------------------------
Lockheed Martin Corp. 35,800 3,007,200
- ---------------------------------------------------------
Northrop Grumman Corp. 19,100 1,301,188
- ---------------------------------------------------------
Pall Corp. 3,600 86,850
- ---------------------------------------------------------
Parker Hannifin Corp. 30,700 1,300,913
- ---------------------------------------------------------
Rockwell International Corp. 47,700 2,730,825
- ---------------------------------------------------------
Textron Inc. 10,600 846,675
- ---------------------------------------------------------
Thiokol Corp. Del 13,800 545,100
- ---------------------------------------------------------
United Technologies Corp. 20,900 2,403,500
- --------------------------------------------------------- ------------
14,621,500
AIR TRANSPORTATION: 0.1%
Continental Airlines Financial Tr 2,900 213,150
- ---------------------------------------------------------
Trans World Airlines Inc. * 5,700 276,450
- --------------------------------------------------------- ------------
489,600
ALUMINUM: 0.6%
Aluminum Co. of America 37,400 2,145,825
- ---------------------------------------------------------
Kaiser Aluminum Corp. * 6,100 67,100
- --------------------------------------------------------- ------------
2,212,925
BANKING AND INSURANCE: 13.5%
Aetna Life & Casualty Co. * 40,100 2,867,150
- ---------------------------------------------------------
AllState Corp. 96,305 4,393,916
- ---------------------------------------------------------
American Bankers Insurance Group Inc. 13,800 603,750
- ---------------------------------------------------------
Banc One Corp. 35,770 1,216,180
- ---------------------------------------------------------
Bank of Boston Corp. 28,200 1,395,900
- ---------------------------------------------------------
Bank of New York Inc. 67,600 3,464,500
- ---------------------------------------------------------
BankAmerica Corp. 24,900 1,886,175
- ---------------------------------------------------------
Boatmens Bancshares Inc. 11,000 383,625
- ---------------------------------------------------------
Brascan Ltd. 69,000 1,285,470
- ---------------------------------------------------------
Canadian Imperial Bank Toronto (Canada) 29,800 961,466
- ---------------------------------------------------------
Chase Manhattan Corp. New 25,900 1,829,188
- ---------------------------------------------------------
Cigna Corp. 9,200 1,084,450
- ---------------------------------------------------------
Citicorp 15,700 1,297,213
- ---------------------------------------------------------
Comerica Inc. 30,900 1,378,913
- ---------------------------------------------------------
Conseco Inc. 13,700 950,600
- ---------------------------------------------------------
Corestates Financial Corp. 11,500 442,750
- ---------------------------------------------------------
Den Norske Bank (Norway) 290,300 881,310
- ---------------------------------------------------------
Deutsche Bank AG (Germany) 8,100 383,558
- ---------------------------------------------------------
First Bank System Inc. 28,700 1,664,600
- ---------------------------------------------------------
First Chicago NBD Corp. 75,423 2,950,925
- ---------------------------------------------------------
First Tenn National Corp. 16,600 507,338
- ---------------------------------------------------------
Fleet Financial Group Inc. 40,900 1,779,150
- ---------------------------------------------------------
General Re Corp. 5,900 898,275
- ---------------------------------------------------------
Highlands Insurance Group Inc. * 19,370 363,188
- ---------------------------------------------------------
HSBC Holdings plc (Hong Kong) 26,000 392,983
- ---------------------------------------------------------
ITT Hartford Group Inc. 52,800 2,811,600
- ---------------------------------------------------------
MBIA Inc. 3,600 280,350
- ---------------------------------------------------------
National Bank Canada Montreal Quebec 102,300 854,186
- ---------------------------------------------------------
Norwest Corp. 38,483 1,342,095
- ---------------------------------------------------------
NWNL Cos. Inc. 35,900 1,548,188
- ---------------------------------------------------------
Provident Cos. Inc. 5,900 218,300
- ---------------------------------------------------------
Providian Corp. 7,200 308,700
- ---------------------------------------------------------
Royal Bank Canada Montreal Quebec (Canada) 44,600 1,069,838
- ---------------------------------------------------------
Sparbanken Sverige (Sweden) 32,200 418,302
- ---------------------------------------------------------
Sparebanken Norway (Norway) 15,700 384,691
- ---------------------------------------------------------
Toronto Dominion Bank Ontario (Canada) 17,400 305,230
- ---------------------------------------------------------
Washington Mutual Insurance 51,800 1,597,563
- ---------------------------------------------------------
Wells Fargo & Co. 4,833 1,154,483
- --------------------------------------------------------- ------------
47,556,095
BROADCASTING: 0.2%
Evergreen Media Corp. 5,700 503,025
- ---------------------------------------------------------
Jacor Communications Inc. * 6,000 186,375
- --------------------------------------------------------- ------------
689,400
BUILDING MATERIALS: 0.2%
Harsco Corp. 11,300 759,925
- ---------------------------------------------------------
BUILDING AND CONSTRUCTION: 0.2%
Armstrong World Industries Inc. 8,700 501,338
- ---------------------------------------------------------
Kaufman & Broad Home Corp. 4,600 66,700
- --------------------------------------------------------- ------------
568,038
CHEMICALS: 3.3%
Bayer AG (Germany) 6,000 212,101
- ---------------------------------------------------------
Corning Inc. 23,500 901,813
- ---------------------------------------------------------
Dow Chemical Co. 11,000 836,000
- ---------------------------------------------------------
DSM NV (Netherlands) 5,700 566,491
- ---------------------------------------------------------
Du Pont E I De Nemours & Co. 47,800 3,782,175
- ---------------------------------------------------------
Great Lakes Chemical Corp. 8,600 535,350
- ---------------------------------------------------------
IMC Fertilizer Group Inc. 21,800 820,225
- ---------------------------------------------------------
Imperial Chemical Industries plc 5,000 245,625
- ---------------------------------------------------------
Lubrizol Corp. 11,900 361,463
- ---------------------------------------------------------
Montedison SPA 400 2,400
- ---------------------------------------------------------
Nalco Chemical Co. 33,300 1,048,950
- ---------------------------------------------------------
SGL Carbon (Germany) 2,700 316,080
- ---------------------------------------------------------
Union Carbide Corp. 47,600 1,892,100
- --------------------------------------------------------- ------------
11,520,772
COAL AND GAS: 0.6%
Coastal Corp. 8,400 350,700
- ---------------------------------------------------------
Pacific Enterprises 56,700 1,679,738
- --------------------------------------------------------- ------------
2,030,438
CONSUMER PRODUCTS AND SERVICES: 5.4%
B.A.T. Industries (UK) 40,800 317,453
- ---------------------------------------------------------
Dimon Inc. 13,700 253,450
- ---------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- -----------
<S> <C> <C>
Fuji Photo Film Co. (Japan) 23,000 $ 727,655
- ---------------------------------------------
H&R Block Inc. 31,600 1,030,950
- ---------------------------------------------
Johnson & Johnson 26,400 1,306,800
- ---------------------------------------------
Philip Morris Co. Inc. 111,600 11,607,405
- ---------------------------------------------
Premark International Inc. 29,600 547,600
- ---------------------------------------------
Seagram Co. Ltd. 4,500 151,313
- ---------------------------------------------
Softkey International Inc. * 14,300 271,700
- ---------------------------------------------
Tupperware Corp. * 17,000 718,250
- ---------------------------------------------
Tyco Toys Inc. * 33,200 186,750
- ---------------------------------------------
Universal Corp. 22,900 606,850
- ---------------------------------------------
Whirlpool Corp. 24,300 1,205,888
- --------------------------------------------- -----------
18,932,063
DRUG AND HOSPITAL SUPPLIES: 2.6%
American Home Products Corp. 16,300 980,038
- ---------------------------------------------
Bausch & Lomb Inc. 9,700 412,250
- ---------------------------------------------
Baxter International Inc. 28,900 1,365,525
- ---------------------------------------------
Bristol Myers Squibb Co. 24,700 2,223,000
- ---------------------------------------------
Pfizer Inc. 16,600 1,184,825
- ---------------------------------------------
Pharmacia & Upjohn Inc. 12,000 532,500
- ---------------------------------------------
Schering-Plough Corp. 29,800 1,869,950
- ---------------------------------------------
Tenet Healthcare Corp. * 19,800 423,225
- --------------------------------------------- -----------
8,991,313
ELECTRICAL AND ELECTRONICS: 6.2%
AMP Inc. 20,700 830,588
- ---------------------------------------------
Cooper Industries Inc. 27,398 1,137,017
- ---------------------------------------------
Emerson Electric Co. 12,300 1,111,613
- ---------------------------------------------
Entergy Corp. 42,600 1,208,775
- ---------------------------------------------
General Electric Co. 121,100 10,475,150
- ---------------------------------------------
Harris Corp. 14,300 872,300
- ---------------------------------------------
Mitsubishi Electric Corp. (Japan) 44,000 307,374
- ---------------------------------------------
National Service Industries Inc. 12,900 504,713
- ---------------------------------------------
Nitto Denko Corp. (Japan) 18,000 317,652
- ---------------------------------------------
Tandy Co. 11,100 525,863
- ---------------------------------------------
Thomas & Betts Corp. 12,000 450,000
- ---------------------------------------------
TRW Inc. 10,000 898,750
- ---------------------------------------------
Tyco International Ltd. 50,600 2,061,950
- ---------------------------------------------
Westinghouse Electric Corp. * 66,700 1,174,374
- --------------------------------------------- -----------
21,876,117
ENTERTAINMENT: 0.4%
Bally Entertainment Corp. 17,300 451,963
- ---------------------------------------------
Brunswick Corp. 2,700 54,000
- ---------------------------------------------
Hasbro Inc. 27,500 983,125
- --------------------------------------------- -----------
1,489,088
FINANCE: 2.7%
Allmerica Financial Corp. 600 17,850
- ---------------------------------------------
American Express Co. 169,600 7,568,400
- ---------------------------------------------
Beneficial Corp. 15,800 886,775
- ---------------------------------------------
Household International Inc. 15,400 1,170,400
- --------------------------------------------- -----------
9,643,425
FINANCIAL SERVICES: 1.2%
American Financial Group Inc. 55,400 1,668,925
- ---------------------------------------------
Associates First Capital Corp. * 4,700 176,838
- ---------------------------------------------
Capital Re Corp. 2,400 88,200
- ---------------------------------------------
Dun & Bradstreet Corp. 14,700 918,750
- ---------------------------------------------
Hees International Bancorp Inc. (Canada) 57,700 686,754
- ---------------------------------------------
Time Warner Financing Trust 13,400 482,400
- ---------------------------------------------
Trilon Financial Corp. 39,900 159,273
- --------------------------------------------- -----------
4,181,139
FOOD AND BEVERAGE: 2.7%
General Mills Inc. 30,100 1,640,450
- ---------------------------------------------
Goodman Fielderlt (Australia) 604,732 613,049
- ---------------------------------------------
Hanson plc 46,800 $ 666,900
- ---------------------------------------------
Kellogg Co. 16,800 1,230,600
- ---------------------------------------------
Pepsico Inc. 25,000 884,375
- ---------------------------------------------
Ralston Purina Co. 16,000 1,026,000
- ---------------------------------------------
RJR Nabisco Holding Corp. 84,880 2,631,280
- ---------------------------------------------
Seagram Ltd. (Canada) 6,300 211,107
- ---------------------------------------------
SuperValu Inc. 20,600 648,900
- ---------------------------------------------
Swedish Match (Sweden) * 21,890 98,514
- --------------------------------------------- -----------
9,651,175
FOREST PRODUCTS: 0.5%
Weyerhaeuser Co. 45,400 1,929,500
- ---------------------------------------------
FURNITURE MANUFACTURING: 0.3%
Masco Corp. 33,600 1,016,400
- ---------------------------------------------
HEALTH AND PERSONAL CARE: 0.3%
Foundation Health Corp. * 10,900 391,038
- ---------------------------------------------
Health Systems International Inc. * 22,100 599,463
- --------------------------------------------- -----------
990,500
HOSPITAL AND HEALTH CARE: 0.0%
Hillenbrand Industries Inc. 1,700 63,325
- ---------------------------------------------
HOTELS: 0.2%
Brinker International Inc. * 20,900 313,500
- ---------------------------------------------
Patriot American Hospitality Inc. 7,700 228,113
- --------------------------------------------- -----------
541,613
HOUSEHOLD APPLIANCES: 0.4%
Maytag Corp. 3,200 66,800
- ---------------------------------------------
Rubbermaid Inc. 54,900 1,496,025
- --------------------------------------------- -----------
1,562,825
INDUSTRIAL: 1.4%
Armco Inc. * 13,500 67,500
- ---------------------------------------------
Cummins Engine Co. Inc. 6,400 258,400
- ---------------------------------------------
Gencorp Inc. 22,900 346,363
- ---------------------------------------------
Goulds Pumps Inc. 1,600 41,100
- ---------------------------------------------
ITT Corp. New * 19,900 1,318,375
- ---------------------------------------------
Johnson Controls Inc. 14,700 1,021,650
- ---------------------------------------------
McDermott International Inc. 16,700 348,613
- ---------------------------------------------
Raytheon Co. 24,300 1,254,488
- ---------------------------------------------
Zurn Industries Inc. 20,500 425,375
- --------------------------------------------- -----------
5,081,863
MACHINERY AND ENGINEERING: 2.0%
American Standard Cos. Inc. Del * 36,300 1,197,900
- ---------------------------------------------
Caterpillar Inc. 18,000 1,219,500
- ---------------------------------------------
Crane Co. 12,000 492,000
- ---------------------------------------------
Deere & Co. 17,400 696,000
- ---------------------------------------------
Dresser Industries Inc. 50,100 1,477,950
- ---------------------------------------------
Ingersollrand Co. 24,400 1,067,500
- ---------------------------------------------
Scania Ab (Sweden) 35,200 980,431
- --------------------------------------------- -----------
7,131,281
METALS AND MINING: 0.9%
Inco Ltd. 11,200 361,200
- ---------------------------------------------
Lukens Inc. 18,200 434,525
- ---------------------------------------------
Newmont Miningng Corp. 5,000 246,875
- ---------------------------------------------
Noranda Inc. 20,100 411,481
- ---------------------------------------------
Pechiney (France) 12,025 479,728
- ---------------------------------------------
Phelps Dodge Corp. 1,300 81,088
- ---------------------------------------------
Reynolds Metals Co. 21,900 1,141,538
- --------------------------------------------- -----------
3,156,434
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- --------
<S> <C> <C>
MISCELLANEOUS: 1.9%
Dexter Corp. 19,400 $ 577,150
Grand Metropolitan 45,861 304,126
Illinova Corp. 56,200 1,615,750
Keystone International Inc. 38,500 798,875
Nordbanken AB (Sweden) 12,000 232,021
Omron Corp. (Japan) 20,000 426,096
Public Storage Inc. 6,100 125,813
Ralcorp Holdings Inc. * 23,400 482,625
Safety Kleen Corp. 15,700 274,750
Snap On Inc. 24,300 1,151,213
St Paul Capital LLC 3,000 157,500
U.S. Industries Inc. * 29,100 702,038
------------
6,847,955
MOTOR VEHICLES AND EQUIPMENT: 5.8%
Chrysler Corp. 68,800 4,265,600
Continental AG (Germany) 15,900 258,290
Daimler Benz AG (Germany) 1,300 359,120
Dana Corp. 27,900 864,900
Eaton Corp. 17,000 996,625
Federal Mogul Corp. 14,100 259,088
Ford Motor Co. 29,900 968,013
General Motors Corp. 120,900 6,332,138
Genuine Parts Co. 45,600 2,086,200
Goodrich BF Co. 4,600 171,925
Goodyear Tire & Rubber Co. 13,100 632,075
Honda Motor Co. (Japan) 27,000 701,138
Modine Manufacturing Co. 14,700 387,713
Scandia Aktiebolag 1,900 52,488
Standard Products Co. 1,700 39,525
Volkswagen AG (Germany) 800 297,534
Volvo AB (Sweden) 61,100 1,393,650
Volvo Aktiebolaget 10,900 246,613
------------
20,312,632
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 1.8%
Digital Equipment Corp. * 27,200 1,224,000
IBM 16,000 1,584,000
Moore Corp. Ltd. 13,300 251,038
New England Business Services Inc. 15,500 302,250
Olivetti & C Spa (Italy) 531,000 286,783
Standard Register 10,000 246,250
Unisys Corp. * 25,600 182,400
Wallace Computer Service Inc. 3,000 179,250
Wang Labs Inc. New * 1,700 82,025
Xerox Corp. 39,000 2,086,500
------------
6,424,496
PAPER: 0.6%
Champion International Corp. 9,900 413,325
International Paper Capital Trust * 6,100 268,400
International Paper Co. 36,358 1,340,701
------------
2,022,426
PETROLEUM AND PETROLEUM RELATED: 13.0%
Amerada Hess Corp. 22,300 1,195,838
Amoco Corp. 33,100 2,395,613
Atlantic Richfield Co. 24,900 2,950,650
Baker Hughes Inc. 22,000 723,250
British Petroleum 81,060 8,663,288
Diamond Shamrock Inc. 1,400 84,000
Enron Corp. 12,900 527,288
Enserch Corp. 30,900 672,075
Ethyl Corp. 36,100 347,463
Exxon Corp. 8,300 721,063
GATX 23,700 1,143,525
Halliburton Co. 24,700 1,370,850
Kerr McGee Corp. 17,000 1,034,875
Lyondell Petrochemical Co. 17,800 429,425
Mobil Corp. 16,500 1,850,063
Occidental Petroleum Corp. 44,700 1,106,325
Panenergy Corp. 39,000 1,282,125
Petro Canada 10,700 66,875
Phillips Petroleum Co. 22,000 921,250
Questar Corp. 32,800 1,115,200
Royal Dutch Petroleum Co. 27,800 4,274,250
Santa Fe Natural Energy Resources Inc. 23,900 275,150
Schlumberger Ltd. 44,800 3,774,400
Tenneco Inc. 5,200 265,850
Total S.A. 62,137 2,306,836
Total (France) * 32,800 2,434,684
Union Pacific Res Group Inc. 7,600 203,300
Unocal Corp. 48,800 1,647,000
USX Marathon Group Inc. 35,400 712,425
Witco Corp. 35,700 1,227,188
------------
45,722,120
PRINTING AND PUBLISHING: 0.5%
Deluxe Corp. 27,700 983,350
Donnelley R R & Sons Co. 18,700 652,163
Harland John H Co. 7,300 179,763
------------
1,815,275
PUBLIC UTILITIES: 1.8%
American Electric Power Inc. 25,600 1,091,200
Cilcorp Inc. 6,000 256,500
Cinergy Corp. 5,000 160,000
DPL Inc. 17,300 421,688
DQE Inc. 5,000 137,500
MCN Corp. 24,400 594,750
Nova Corp. Alta (Canada) 68,500 616,728
Pacificorp 10,000 222,500
Peco Energy Co. 14,000 364,000
Portland General 10,000 308,750
Unicom Corp. 16,000 446,000
Veba AG (Germany) 31,400 1,670,055
------------
6,289,670
RAILROADS: 0.4%
Burlington Northern Santa Fe 17,100 1,382,963
REAL ESTATE: 0.7%
Equity Residential PPTYS TR 23,300 765,988
First Industrial Realty Inc. 4,300 101,050
Lennar Corp. 14,500 362,500
Liberty Property 3,300 65,588
Pinnacle West Capital Corp. 28,000 850,500
Ryland Group Inc. 14,800 222,000
Spieker Properties Inc. 1,500 40,875
Tornet Fastighet (Sweden) * 3,220 26,265
Weeks Corp. 1,300 33,800
------------
2,468,565
RESTAURANT: 0.2%
Darden Restaurants Inc. 54,300 583,725
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- --------
<S> <C> <C>
RETAIL: 4.9%
Coles Myer Ltd. (Australia) 24,800 $ 90,040
Dayton Hudson Corp. 7,000 721,875
Dillard Department Stores Inc. 10,300 375,950
Federated Department Stores Inc. * 45,200 1,542,450
Fingerhut Cos. Inc. 19,000 296,875
Jostens Inc. 11,500 227,125
K Mart Corp. 10,800 133,650
Limited Inc. 32,322 694,923
May Department Stores Co. 29,000 1,268,750
Payless Shoesource Inc. * 27,424 870,712
Sears, Roebuck & Co. 43,700 2,124,913
TJX Cos. Inc. * 55,500 2,169,175
Toys "R" Us * 58,100 1,655,850
Wal-Mart Stores 196,700 4,991,263
Woolworth Corp. 10,100 227,250
------------
17,390,800
SECURITIES DEALERS: 1.0%
Bear, Stearns & Co. Inc. 18,548 438,197
First Marathon Inc. 92,100 971,391
Lehman Brothers Holdings Inc. 25,380 628,155
Nomura Securities (Japan) 70,000 1,369,725
------------
3,407,468
SHOES: 0.3%
Melville Corp. 26,000 1,053,000
STEEL: 0.1%
Allegheny Ludlum Corp. 10,300 194,413
Macerich Co. 400 8,400
------------
202,813
TELECOMMUNICATIONS: 4.7%
Alcatel Alsthon (France) 2,500 218,232
American Telephone & Telegraph Co. 21,300 1,320,600
Ameritech Corp. 46,700 2,772,813
BCE Inc. (Canada) 24,200 952,957
Bell Atlantic Corp. 33,200 2,116,500
Bellsouth Corp. 55,800 2,364,525
Frontier Corp. 32,600 998,375
Lucent Technologies Inc. 11,900 450,713
Nynex Corp. 57,100 2,712,250
SBC Communications Inc. 37,200 1,832,100
Sprint Corp. 1,100 44,275
Telefonica De Espana S.A. 5,600 308,700
U.S. West Inc. * 21,000 577,500
------------
16,669,540
TEXTILES-APPAREL MANUFACTURING: 0.4%
Burlington Industries Inc. * 27,100 382,788
Kellwood Co. 42,400 779,100
Stride Rite Corp. 20,500 169,125
------------
1,331,013
TEXTILE PRODUCTS: 0.3%
Unifi Inc. 35,700 1,004,063
TRANSPORTATION: 0.4%
CSX Corp. 32,600 1,572,950
WASTE MANAGEMENT: 1.5%
Betz Laboratories Inc. 9,000 394,875
Browning Ferris Industries Inc. 80,300 2,328,700
WMX Technologies Inc. 78,700 2,577,425
------------
5,301,000
TOTAL COMMON STOCKS: 92.6%
(Cost $276,521,685) $326,261,224
- ---------------------------------
PREFERRED STOCKS:
Alumax Inc. 11,100 1,398,600
Armco Inc. 1,500 71,063
Atlantic Richfield Co. 15,400 375,375
Chiquita Brands International Inc. 15,500 697,500
Crown Cork & Seal Inc. 7,400 336,700
K Mart Financing I * 8,300 450,275
Kaiser Aluminum Corp.* 26,500 281,563
Occidental Petroleum Corp. 19,500 1,211,438
Reynolds Metals Co. 1,700 78,838
RJR Nabisco Holdings Corp. 271,000 1,761,500
Salomon Inc. * 16,700 461,338
U.S. Surgical Inc. 6,600 205,425
Williams Companies Inc. 3,600 284,400
------------
TOTAL PREFERRED STOCKS: 2.2%
(Cost $7,354,637) 7,614,013
- -----------------------------
Maturity
REPURCHASE AGREEMENT: amount
--------------
State Street Bank and Trust Co. repurchase
aggreement, dated 6/28/96, 4.75%, maturing
7/1/96 collateralized by U.S. Treasury
Notes 6.5%, 4/30/99. $ 8,607,000 8,607,000
- ------------------------------------------- ---------------
TOTAL REPURCHASE AGREEMENT: 2.4%
(Cost $8,960,000) 8,607,000
- ------------------------------------------- ---------------
TOTAL INVESTMENTS: 101.0%
(Cost $297,860,146) 355,798,967
- ------------------------------------------- ===============
Other assets under liabilities: (1.0)% (3,619,734)
- ------------------------------------------- ---------------
NET ASSETS: 100.0%
(equivalent to $14.349 per share based on
24,544,096 shares issued and outstanding) $ 352,179,233
- ------------------------------------------- ===============
GLOBAL ASSET ALLOCATION FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
LONG-TERM DEBT INVESTMENTS: Par Market
amount ** value
------------- -----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 12.5%
FNMA
.9.5%, 5/1/07 $ 1,182,621 $ 1,242,852
.7.5%, 7/1/07 401,648 405,773
.6.5%, 1/1/11 965,861 934,161
.6.5%, 2/1/11 966,009 934,305
.6.5%, 6/1/11 375,980 361,644
.7.5%, 2/1/14 784,592 774,533
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount** value
----------- -----------
<S> <C> <C>
* 7.0%, 10/25/23 $ 961,131 $ 860,212
* 7.0%, 8/1/25 707,002 680,044
* 6.5%, 9/1/25 26,412 24,703
* 7.0%, 9/1/25 558,384 537,093
* 6.5%, 12/1/25 466,626 436,440
* 6.5%, 3/1/26 644,977 603,253
* 6.5%, 4/1/26 515,516 482,168
* 7.0%, 5/1/26 1,006,714 968,328
* 7.4%, 5/1/26 674,589 665,523
* 7.5%, 5/1/26 505,000 498,213
* 7.5%, 7/1/26 1,010,000 996,426
- ----------------------------------
GNMA
* 9.5%, 1/15/06 783,053 816,818
* 11.0%, 12/15/15 155,617 174,144
* 8.0%, 4/15/24 411,532 416,676
* 9.0%, 7/15/24 418,876 438,379
* 9.0%, 4/15/25 874,545 915,263
* 9.0%, 6/15/25 358,598 375,295
* 9.0%, 10/15/25 405,034 423,893
* 7.5%, 11/15/25 725,255 714,826
* 7.5%, 12/15/25 282,043 277,987
* 7.5%, 1/15/26 397,169 391,458
* 7.0%, 2/15/26 985,571 944,916
* 7.5%, 2/15/26 489,943 482,898
* 9.0%, 2/15/26 235,144 246,092
* 7.5%, 3/15/26 514,608 507,208
* 7.0%, 4/15/26 432,363 414,528
* 8.0%, 5/15/26 94,877 95,707
* 7.0%, 6/15/26 2,532,949 2,476,562
- ----------------------------------
U.S. Treasury Bonds
* 8.125%, 8/15/19 4,195,000 4,708,888
- ----------------------------------
U.S. Treasury Notes
* 5.875%, 7/31/97 3,905,000 3,903,774
* 5.25%, 12/31/97 240,000 237,450
* 6.125%, 3/31/98 1,900,000 1,901,482
* 6.375%, 7/15/99 3,135,000 3,141,853
* 6.875%, 8/31/99 30,000 30,431
- ---------------------------------- -----------
35,442,195
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.7%
Citicorp Mortgage Securities Inc.
* 5.75, 12/1/08 885,000 845,634
- ----------------------------------
Standard Credit Card Master Tri.
* 8.25%, 11/7/03 1,000,000 1,057,769
- ---------------------------------- -----------
1,903,403
AEROSPACE: 0.1%
Lockheed Martin Corp.
* 7.25%, 5/15/06 410,000 409,213
- ----------------------------------
BANKING AND INSURANCE: 1.9%
Bankamerica Corp.
* 8.375%, 3/15/02 600,000 637,616
- ----------------------------------
Capital One Bank
* 7.35% Med. Term Note, 6/20/00 1,000,000 1,005,650
- ----------------------------------
Citicorp
* 7.625%, 5/1/05 1,050,000 1,066,618
- ----------------------------------
First USA Bank
* 6.375%, 10/23/00 500,000 485,990
- ----------------------------------
Merita Bank Ltd.
* 6.5%, 1/15/06 680,000 634,683
- ----------------------------------
Nations Bank Corp.
* 6.5%, 3/15/06 700,000 657,846
Par Market
amount** value
----------- -----------
Royal Bank Scotland Group
* 6.375%, 2/1/11 $ 750,000 $ 668,438
- ----------------------------------
Travelers Aetna Property Casualty Corp.
* 7.75%, 4/15/26 255,000 251,573
- ---------------------------------- -----------
5,408,414
COAL AND GAS: 0.2%
Columbia Gas System Inc.
* 7.32%, 11/28/10 500,000 478,339
- ----------------------------------
CONSUMER PRODUCTS AND SERVICES: 0.1%
Magna International Inc.
* 5.0%, 10/15/02 285,000 300,675
- ----------------------------------
ELECTRICAL AND ELECTRONICS: 0.2%
Motorola Inc.
* 0.01%, 9/27/13 750,000 590,625
- ----------------------------------
ENTERTAINMENT: 0.1%
Time Warner Entertainment Co. L P
* 7.25%, 9/1/08 370,000 347,367
- ----------------------------------
FINANCE: 2.1%
Associates Corp. of North America
* 6.375%, 7/15/02 550,000 531,047
- ----------------------------------
Banponce Financial Corp.
* 6.16%, 7/30/98 400,000 395,912
- ----------------------------------
CBM Funding Corp.
* 7.55%, 7/1/99 332,620 332,776
- ----------------------------------
Commercial Credit Group Inc.
* 7.875%, 2/1/25 535,000 567,947
- ----------------------------------
Discover Card Mt 1
* 6.55%, 2/1/03 600,000 594,000
- ----------------------------------
Ford Motor Credit Co.
* 6.125%, 1/9/06 350,000 319,935
- ----------------------------------
Ford Motor Credit Co.
* 5.75%, 1/25/01 625,000 597,092
- ----------------------------------
General Electric Capital Mortgage
Services Inc.
* 6.0%, 2/25/24 600,000 592,601
- ----------------------------------
General Electric Capital Mortgage
Services Inc.
* 7.0%, 2/22/22 445,000 435,822
- ----------------------------------
General Motors Acceptance Corp.
* 6.75% Med. Term Note, 6/10/02 1,000,000 983,669
- ----------------------------------
Green Tree Financial Corp.
* 6.8%, 5/15/26 22,874 22,881
- ----------------------------------
Green Tree Financial Corp.
* 4.85%, 1/15/19 114,125 113,398
- ----------------------------------
Green Tree Financial Corp.
* 0.99%, 2/15/27 389,903 389,466
- ----------------------------------
Merrill Lynch Mortgage Investment Inc.
* 10.35%, 5/15/09 191,970 203,248
- ---------------------------------- ----------
6,079,794
FINANCIAL SERVICES: 2.0%
Aames Mortgage Trust
* 7.625%, 4/15/24 735,000 734,885
- ----------------------------------
BHP Finance USA
* 6.42%, 3/1/26 325,000 313,390
- ----------------------------------
Financing Corp.
* 0.0%, 4/6/06 1,200,000 600,084
* 0.0%, 5/11/06 1,200,000 596,196
* 9.8%, 11/30/17 900,000 1,133,577
- ----------------------------------
First Plus Home Loan Trust
* 6.95%, 10/20/06 620,000 626,588
- ----------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount ** value
----------------- -------------
<S> <C> <C>
MBNA Master Credit Card II
. 6.6%, 1/15/03 $ 540,000 $ 540,021
- -------------------------------------------------
Residential Funding Mortgage Securities
. 5.065%, 10/25/08 600,000 583,715
- -------------------------------------------------
Sampoerna International Finance Co. B V
. 8.375%, 6/15/06 325,000 331,013
- -------------------------------------------------
Sears Roebuck Acceptance Corp.
. 6.15% Medium Term Note, 11/15/02 250,000 236,044
- ------------------------------------------------- ----------
5,695,513
FOREIGN GOVERNMENT: 9.4%
Australia (Commonwealth)
. 7.0%, 4/15/00 717,000 537,544
. 10.0%, 10/15/02 1,355,000 1,131,140
. 9.0%, 9/15/04 790,000 627,294
- -------------------------------------------------
Canada (Government of)
. 7.0%, 9/15/97 1,080,000 851,589
. 7.5%, 3/1/01 5,070,000 3,789,592
- -------------------------------------------------
Denmark (Kingdom of)
. 8.0%, 5/15/03 10,655,000 1,925,120
. 8.0%, 5/3/15 2,615,000 441,673
- -------------------------------------------------
Germany (Republic of)
. 5.75%, 8/20/98 3,150,000 2,133,628
. 5.75%, 8/22/00 2,535,000 1,694,057
. 8.375%, 5/21/01 1,890,000 1,387,202
. 7.375%, 1/3/05 1,430,000 993,617
. 6.875%, 5/12/05 1,425,000 959,309
- -------------------------------------------------
Italy (Republic of)
. 10.5%, 7/15/00 2,950,000,000 2,044,627
. 10.5%, 9/1/05 2,215,000,000 1,556,178
- -------------------------------------------------
Quebec (Province of)
. 8.625%, 1/19/05 585,000 629,834
- -------------------------------------------------
Sweden (Kingdom of)
. 10.25%, 5/5/00 9,500,000 1,583,247
- -------------------------------------------------
United Kingdom Treasury
. 7.25%, 3/30/98 535,000 843,337
. 9.75%, 8/27/02 915,000 1,573,344
. 6.75%, 11/26/04 605,000 880,275
. 7.5%, 12/7/06 790,000 1,208,495
- ------------------------------------------------- ------------
26,791,104
HEALTH AND PERSONAL CARE: 0.2%
Columbia/HCA Healthcare Corp.
. 6.41%, 6/15/00 650,000 640,853
- -------------------------------------------------
HOSPITAL AND HEALTH CARE: 0.1%
Manor Care Inc.
. 7.5%, 6/15/06 285,000 285,224
- -------------------------------------------------
INDUSTRIAL: 0.2%
Service Corp. International
. 6.375%, 10/1/00 440,000 432,256
- -------------------------------------------------
MACHINERY AND ENGINEERING: 0.2%
AMBAC Inc.
. 9.375%, 8/1/11 400,000 463,530
- -------------------------------------------------
METALS AND MINING: 0.2%
Noranda Inc.
. 7.0%, 7/15/05 650,000 625,944
- -------------------------------------------------
MISCELLANEOUS: 0.2%
Petroliam Nasional Berhad (Malaysia)
. 6.875%, 7/1/03 575,000 561,182
- -------------------------------------------------
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 0.3%
Comdisco Inc.
. 7.75%, 9/1/99 800,000 821,245
- -------------------------------------------------
PETROLEUM AND PETROLEUM RELATED: 0.1%
Norcen Energy Research Ltd.
. 7.375%, 5/15/06 150,000 147,870
- -------------------------------------------------
PUBLIC UTILITIES: 0.2%
Commonwealth Edison Co.
. 6.625%, 7/15/03 860,000 824,767
- -------------------------------------------------
Endesa Overseas Chile
. 7.2%, 4/1/06 330,000 322,354
- -------------------------------------------------
Iberdrola International BV (Spain)
. 7.5%, 10/1/02 725,000 736,028
- -------------------------------------------------
Puget Sound Power & Light Co.
. 7.875%, 10/1/97 400,000 407,128
- -------------------------------------------------
Tenaga Nasional Berhad (Malaysia)
. 7.5%, 11/1/25 625,000 595,256
- ------------------------------------------------- -----------
2,885,532
RETAIL: 0.1%
American Stores Co.
. 8.0%, 6/1/26 350,000 351,733
- -------------------------------------------------
SECURITIES DEALERS: 0.2%
Smith Barney Holdings
. 7.0%, 5/15/00 570,000 572,993
- -------------------------------------------------
TELECOMMUNICATIONS: 0.2%
Bell South Telecommunications
. 6.75%, 10/15/33 600,000 530,197
- -------------------------------------------------
TRANSPORTATION: 0.2%
The Penn Central Corp.
. 10.625%, 4/15/00 600,000 645,000
- -------------------------------------------------
WASTE MANAGEMENT: 0.1%
Waste Management Inc.
8.75%, 5/1/18 350,000 382,721
- -------------------------------------------------
TOTAL LONG-TERM DEBT INVESTMENTS: 32.7%
(Cost $93,096,635) 92,792,921
Number
COMMON STOCKS: of shares
---------
AEROSPACE: 1.6%
Boeing Co. 18,000 1,568,250
- -------------------------------------------------
Lockheed Martin Corp. 8,620 724,080
- -------------------------------------------------
Northrop Grumman Corp. 10,230 696,919
- -------------------------------------------------
Textron Inc. 8,100 646,988
- -------------------------------------------------
United Technologies Corp. 8,800 1,012,000
-----------
4,648,236
ADVERTISING: 0.0%
Outdoor Sys Inc. * 2,900 100,775
- -------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- ------
<S> <C> <C>
AIR TRANSPORTATION: 0.1%
KLM (Netherlands) * 6,990 $ 223,778
- ----------------------------------------
Singapore Airlines (Singapore) 15,000 158,398
- ---------------------------------------- ----------
382,177
BANKING AND INSURANCE: 7.7%
ABN Amro Holdings NV (Netherlands) 6,100 327,622
- ----------------------------------------
Ahmanson H F & Co. 18,810 507,870
- ----------------------------------------
Allied Irish Banks (Ireland) 54,300 284,330
- ----------------------------------------
American General Corp. 26,750 973,031
- ----------------------------------------
American International Group Inc. 7,850 774,206
- ----------------------------------------
Bank of Boston Corp. 16,200 801,900
- ----------------------------------------
Bank Of Ireland (Ireland) 29,000 197,569
- ----------------------------------------
Bank Of Tokyo Mits (Japan) 13,650 317,021
- ----------------------------------------
BankAmerica Corp. 22,650 1,715,738
- ----------------------------------------
Bankers Trust New York Corp. 18,850 1,392,544
- ----------------------------------------
Barclays plc (UK) 12,600 151,165
- ----------------------------------------
BCO Bilbao Vizcaya (Spain) 3,700 150,018
- ----------------------------------------
Chase Manhattan Corp. New 14,100 995,813
- ----------------------------------------
Citicorp 20,400 1,685,550
- ----------------------------------------
Compdent Corp. * 2,325 107,822
- ----------------------------------------
Cost Plus Inc. California * 4,900 135,363
- ----------------------------------------
CRA Managed Care Inc. * 2,150 97,288
- ----------------------------------------
Credit Local De France (France) 4,080 332,359
- ----------------------------------------
Development Bank Singapore (Singapore) 12,000 149,681
- ----------------------------------------
First Commonwealth Inc. * 1,700 47,600
- ----------------------------------------
Fleet Financial Group Inc. 25,077 1,090,850
- ----------------------------------------
Guoco Group (Hong Kong) 24,000 114,407
- ----------------------------------------
HCC Insurance Holdings Inc. 9,375 210,938
- ----------------------------------------
HSBC Holdings plc (Hong Kong) 19,122 289,024
- ----------------------------------------
J.P. Morgan & Co. Incorporated 23,870 2,019,999
- ----------------------------------------
MBNA Corp. 27,650 788,025
- ----------------------------------------
Munchenerruckvers (Germany) 160 330,418
- ----------------------------------------
Nations Bank Corp. 21,140 1,746,693
- ----------------------------------------
PNC Banking Corp. 20,860 620,585
- ----------------------------------------
Reinsurance Group America Inc. 2,500 94,375
- ----------------------------------------
Royal Insurance (UK) 19,615 121,090
- ----------------------------------------
SCHW Ruckversicher (Switzerland) 312 320,685
- ----------------------------------------
Sierra Health Services Inc. * 1,695 53,393
- ----------------------------------------
Skandia Foersaekrings (Sweden) 5,620 148,987
- ----------------------------------------
Societe Generale (France) 2,755 303,159
- ----------------------------------------
Tokio Marine & Fire Insurance (Japan) 24,000 320,395
- ----------------------------------------
Travelers Inc. 22,250 1,015,133
- ----------------------------------------
United Dental Care Inc. * 1,500 62,438
- ----------------------------------------
United Overseas Bank (Singapore) 15,000 143,515
- ----------------------------------------
USF & G Corp. 37,050 606,694
- ----------------------------------------
Westpac Bank Corp. (Australia) 66,000 292,008
- ---------------------------------------- ----------
21,837,295
BROADCASTING: 0.8%
American Radio Systems Corp. * 2,100 90,825
- ----------------------------------------
Chancellor Broadcasting Co. * 1,300 40,869
- ----------------------------------------
Evergreen Media Corp. * 3,500 148,750
- ----------------------------------------
Gannett Inc. 9,500 672,125
- ----------------------------------------
HBO & Co. 11,300 764,163
- ----------------------------------------
Heartland Wireless Communications Inc. * 2,600 62,400
- ----------------------------------------
Pearson (UK) * 9,500 97,966
- ----------------------------------------
Renaissance Communication Corp. * 1,700 54,825
- ----------------------------------------
Saga Communications - Class A * 3,375 72,984
- ----------------------------------------
SFX Broadcasting Inc. * 2,450 94,938
- ----------------------------------------
Sinclair Broadcasting Group Inc. * 1,600 69,000
- ----------------------------------------
Young Broadcasting Inc. * 3,025 114,572
- ---------------------------------------- ----------
2,283,416
BUILDING MATERIALS: 0.2%
Barnett Inc. * 3,700 105,450
- ----------------------------------------
Daikin Industries (Japan) 9,000 98,752
- ----------------------------------------
Sherwin-Williams Co. 7,100 330,150
- ---------------------------------------- ----------
534,352
BUILDING AND CONSTRUCTION: 0.3%
Armstrong World Industries Inc. 5,500 316,938
- ----------------------------------------
CRH (Ireland) * 40,015 402,450
- ---------------------------------------- ----------
719,387
CHEMICALS: 2.5%
Akzo NV (Netherlands) 2,600 311,756
- ----------------------------------------
Bayer AG (Germany) 3,460 122,312
- ----------------------------------------
Ciba Geigy AG (Switzerland) 380 463,526
- ----------------------------------------
Corning Inc. 16,830 645,851
- ----------------------------------------
DSM NV (Netherlands) 1,800 178,892
- ----------------------------------------
Du Pont E I De Nemours & Co. 27,040 2,139,540
- ----------------------------------------
Eastman Chemical Co. 13,800 840,075
- ----------------------------------------
Monsanto Corp. 42,900 1,394,250
- ----------------------------------------
Praxair Inc. 19,200 811,200
- ----------------------------------------
Sekisui Chemical (Japan) 22,000 269,556
- ---------------------------------------- ----------
7,176,958
COAL AND GAS: 0.2%
Coastal Corp. 16,000 668,000
- ----------------------------------------
CONSTRUCTION: 0.1%
IHC Caland NV (Netherlands) 6,600 325,066
- ----------------------------------------
CONSUMER PRODUCTS AND SERVICES: 4.2%
American Brands Inc. 20,990 952,421
- ----------------------------------------
B.A.T. Industries (UK) 39,260 305,471
- ----------------------------------------
Eastman Kodak Co. 32,610 2,570,896
- ----------------------------------------
Galoob Lewis Toys Inc. * 4,300 121,475
- ----------------------------------------
Home Depot Inc. 14,001 756,054
- ----------------------------------------
Johnson & Johnson 27,700 1,371,150
- ----------------------------------------
KAO Corp. (Japan) 23,000 311,251
- ----------------------------------------
Magna International Inc. 3,750 172,500
- ----------------------------------------
Magna International Inc. Class A (Canada) 4,100 189,189
- ----------------------------------------
Philip Morris Co. Inc. 23,450 2,438,800
- ----------------------------------------
Polaroid Corp. 30,000 1,368,750
- ----------------------------------------
Sola International Inc. * 4,275 122,906
- ----------------------------------------
Stewart Enterprises Inc. 4,950 155,925
- ----------------------------------------
Tabacalera S.A. (Spain) 6,600 332,565
- ----------------------------------------
Tommy Hilfiger Corp. * 2,400 128,700
- ----------------------------------------
Whirlpool Corp. 14,120 700,705
- ---------------------------------------- ----------
11,998,758
DRUG AND HOSPITAL SUPPLIES: 4.4%
American Home Products Corp. 11,700 703,463
- ----------------------------------------
Amgen Inc. 14,000 615,650
- ----------------------------------------
Arthrocare Corp. * 1,600 28,600
- ----------------------------------------
Astra AB (Sweden) 8,500 376,203
- ----------------------------------------
Baxter International Inc. 13,420 634,095
- ----------------------------------------
Becton, Dickinson & Co. 9,400 754,350
- ----------------------------------------
Bristol Myers Squibb Co. 6,750 607,500
- ----------------------------------------
Collaborative Clinical Research Inc. * 800 9,300
- ----------------------------------------
Dura Pharmaceuticals Inc. * 3,750 210,234
- ----------------------------------------
Endosonics Corp. * 900 16,031
- ----------------------------------------
Gelman Sciences Inc. * 3,000 67,875
- ----------------------------------------
I STAT Corp. * 1,625 30,672
- ----------------------------------------
IDEX Labs Inc. * 2,800 109,550
- ----------------------------------------
Impath Inc. * 2,800 50,750
- ----------------------------------------
Iridex Corp. * 4,400 66,000
- ----------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- -----------
<S> <C> <C>
LaJolla Pharmaceutical Co. * 3,900 $ 21,450
- ----------------------------------
Lilly (Eli) & Co. 14,900 968,500
- ----------------------------------
Lincare Holdings Inc. * 2,400 93,900
- ----------------------------------
Lunar Corp. * 2,500 87,813
- ----------------------------------
Mecon Inc. * 900 20,250
- ----------------------------------
Medtronic Inc. 11,200 627,200
- ----------------------------------
Orthologic Corp. * 200 2,525
- ----------------------------------
Parexel International Corp. * 2,600 124,475
- ----------------------------------
Pfizer Inc. 13,900 992,113
- ----------------------------------
Pharmacia & Upjohn Inc. 47,552 2,110,120
- ----------------------------------
Pharmacia & Upjohn (Sweden) 5,400 236,552
- ----------------------------------
Respironics Inc. * 3,900 71,663
- ----------------------------------
Santen Pharmaceutical Co. 4,600 107,256
- ----------------------------------
Target Therapeutics Inc. * 1,100 45,100
- ----------------------------------
Warner Lambert Co. 41,100 2,260,500
- ----------------------------------
Yamanouchi Pharmacy (Japan) 14,000 304,668
- ---------------------------------- -----------
12,354,356
ELECTRICAL AND ELECTRONICS: 3.5%
Advanced Lighting Technologies Inc. * 3,100 53,475
- ----------------------------------
Ascend Communicatons Inc. * 11,200 629,300
- ----------------------------------
Baldor Electric Co. 2,851 64,148
- ----------------------------------
BBC Brown Boveri (Switzerland) 235 290,977
- ----------------------------------
Cambridge Technology Partners * 3,825 116,902
- ----------------------------------
Cascade Communications Corp. * 9,700 660,206
- ----------------------------------
Coherent Communications System Corp. * 4,300 90,300
- ----------------------------------
Cooper Industries Inc. 15,550 645,325
- ----------------------------------
CP Clare Corp. * 3,975 101,859
- ----------------------------------
Del Global Technologies Corp. 6,900 69,000
- ----------------------------------
Eltron International Inc. * 2,100 56,963
- ----------------------------------
Entergy Corp. 23,680 671,920
- ----------------------------------
Flextronics International * 2,100 54,863
- ----------------------------------
Getronics NV (Netherlands) 14,120 312,950
- ----------------------------------
Harman International 1,788 88,059
- ----------------------------------
Hirose Electric (Japan) 2,200 136,186
- ----------------------------------
Intel Corp. 19,460 1,429,094
- ----------------------------------
Keane Inc. * 3,000 110,625
- ----------------------------------
Mabuchi Motor Co. (Japan) 2,500 159,557
- ----------------------------------
Murata Manufacturing Co. (Japan) 7,000 265,624
- ----------------------------------
P Com Inc. * 2,800 87,500
- ----------------------------------
Philips Electronic 9,450 307,520
- ----------------------------------
Sanmina Corp. * 3,950 106,650
- ----------------------------------
SGS Thomson Microelectronics * 8,000 287,000
- ----------------------------------
Sharp Corp. (Japan) 20,000 351,118
- ----------------------------------
Smartflex System Inc. * 2,100 31,500
- ----------------------------------
Spectralink Corp. * 2,900 27,006
- ----------------------------------
Tellabs Inc. * 9,600 642,000
- ----------------------------------
Texas Instruments Inc. 18,026 899,047
- ----------------------------------
Transwitch Corp. * 5,900 77,438
- ----------------------------------
TRW Inc. 13,100 1,177,363
- ---------------------------------- ----------
10,001,473
ENTERTAINMENT: 1.1%
Anchor Gaming * 2,200 132,275
- ----------------------------------
Disney (Walt) Co. 14,717 925,331
- ----------------------------------
Family Golf Centers Inc. * 4,400 112,475
- ----------------------------------
Harrahs Entertainment Inc. 16,700 471,775
- ----------------------------------
ITT Industries Inc. 22,600 567,825
- ----------------------------------
Mirage Resorts Inc. * 12,000 648,000
- ----------------------------------
Pathe (France) * 320 75,154
- ----------------------------------
Regal Cinemas Inc. * 2,250 102,656
- ----------------------------------
Sodak Gaming Inc. * 2,800 86,100
- ----------------------------------
Speedway Motorsports Inc. * 4,600 117,875
- ---------------------------------- -----------
3,239,466
FINANCE: 0.3%
Aegon NV (Netherlands) 6,300 290,343
- ----------------------------------
Bet Holdings Inc. * 2,400 63,300
- ----------------------------------
Keycorp 16,100 623,875
- ---------------------------------- -----------
977,518
FINANCIAL SERVICES: 0.1%
Concord EFS Inc. * 4,943 176,712
- ----------------------------------
PMT Services Inc. * 5,400 154,913
- ---------------------------------- -----------
331,625
FOOD AND BEVERAGE: 1.7%
Danisco (Denmark) 5,500 274,132
- ----------------------------------
Diana Corp. 600 24,375
- ----------------------------------
General Mills Inc. 9,510 518,295
- ----------------------------------
Goodman Fielderlt (Australia) 33,300 33,758
- ----------------------------------
Greencore Group (Ireland) 67,882 356,532
- ----------------------------------
Guinness (UK) 27,700 201,329
- ----------------------------------
Nestle S.A. (Switzerland) 320 365,765
- ----------------------------------
Pan American Beverage 1,700 76,075
- ----------------------------------
Pepsico Inc. 48,600 1,719,225
- ----------------------------------
Petes Brewing Co. * 3,200 47,600
- ----------------------------------
Safeway Inc. * 21,900 722,700
- ----------------------------------
Tate & Lyle (UK) 20,158 143,225
- ----------------------------------
Unilever NV (Netherlands) 2,300 333,099
- ---------------------------------- -----------
4,816,111
FOREST PRODUCTS: 0.6%
Rayonier Timerlands L.P. 17,133 651,054
- ----------------------------------
Weyerhaeuser Co. 22,600 960,500
- ---------------------------------- -----------
1,611,554
HEALTH AND PERSONAL CARE: 0.1%
Authentic Fitness Corp. 2,365 44,048
- ----------------------------------
ICU Medical Inc. 1,400 18,900
- ----------------------------------
Instent Inc. 2,250 48,375
- ----------------------------------
Sabratek Corp. * 2,700 30,038
- ----------------------------------
Sunrise Assisted Living Inc. * 100 2,438
- ---------------------------------- -----------
143,798
HOSPITAL AND HEALTH CARE: 0.4%
Access Health Inc. * 1,550 73,625
- ----------------------------------
American Homepatient Inc. * 4,400 193,600
- ----------------------------------
ARV Assisted Living ONC * 4,100 62,013
- ----------------------------------
Emeritus Corp. * 2,100 37,013
- ----------------------------------
Genesis Health Ventures Inc. * 4,350 136,481
- ----------------------------------
Living Centers of America Inc. 2,275 78,203
- ----------------------------------
National Surgery Centers Inc. * 3,150 85,444
- ----------------------------------
NCS Healthcare Inc. * 3,500 105,438
- ----------------------------------
Occusystems Inc. 1,800 66,938
- ----------------------------------
Owen Healthcare Inc. * 1,900 26,363
- ----------------------------------
Pediatrix Medical Group * 800 39,200
- ----------------------------------
Physician Support Systems Inc. * 2,200 49,225
- ----------------------------------
Renal Care Group Inc. * 1,500 48,281
- ----------------------------------
Sterling House Corp. * 3,700 70,300
- ---------------------------------- ------------
1,072,122
HOTELS: 0.3%
Marriott International Inc. 9,800 526,750
- ----------------------------------
Prime Hospitality Corp. * 10,000 165,000
- ----------------------------------
Servico Inc. * 4,300 65,575
- ---------------------------------- ------------
757,325
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- -------
<S> <C> <C>
HOUSEHOLD APPLIANCES: 0.1%
Electrolux AB (Sweden) 4,750 $ 239,290
- ---------------------------------------
INDUSTRIAL: 0.2%
Blyth Industries Inc. * 4,000 181,500
- ---------------------------------------
Sundstrand Corp. 13,170 482,351
- ---------------------------------------
Zebra Technologies Corp. 1,626 28,658
- --------------------------------------- ----------
692,510
LODGING: 0.0%
Suburban Lodges America Inc. * 4,000 92,250
- ---------------------------------------
MACHINERY AND ENGINEERING: 1.0%
Case Equipment Inc. 18,000 864,000
- ---------------------------------------
Caterpillar Inc. 22,440 1,520,310
- ---------------------------------------
Computational Systems Inc. * 1,000 21,875
- ---------------------------------------
Credence Systems Corp. * 2,425 32,586
- ---------------------------------------
JLG Industries Inc. 1,900 141,313
- ---------------------------------------
Molins (UK) 7,800 117,745
- ---------------------------------------
Rieter Holding (Switzerland) * 910 126,161
- ---------------------------------------
Sandvik Ab (Sweden) 1,890 43,681
- --------------------------------------- ----------
2,867,670
METALS AND MINING: 0.4%
Freeport McMoran Copper & Gold 27,450 820,069
- ---------------------------------------
Preussag AG (Germany) 800 202,565
- ---------------------------------------
Tostem Corp. (Japan) 8,000 236,273
- --------------------------------------- ----------
1,258,907
MISCELLANEOUS: 3.5%
3M Co. 13,700 945,300
- ---------------------------------------
Baer Holdings AG (Switzerland) 130 140,378
- ---------------------------------------
BCO Tottae Acores-Registered (Portugal) 8,000 156,575
- ---------------------------------------
Computer Sciences Corp. * 8,900 665,275
- ---------------------------------------
Cycle & Carriage (Singapore) 13,000 139,121
- ---------------------------------------
Danieli & Co. - Warrnats (Italy) * 1,500 1,176
- ---------------------------------------
Esmor Correctional Services Inc. * 7,000 105,000
- ---------------------------------------
First Data Corp. 14,300 1,138,638
- ---------------------------------------
Franklin Resources Inc. 8,800 536,800
- ---------------------------------------
Futaba Corp. (Japan) 3,000 135,784
- ---------------------------------------
Gucci Group N V 6,700 432,150
- ---------------------------------------
Hutchison Whampoa Ltd. (Hong Kong) 31,000 195,032
- ---------------------------------------
IGEN Inc. * 3,400 23,588
- ---------------------------------------
Jardine Matheson 35,000 257,250
- ---------------------------------------
Kamigumi Co. (Japan) 15,000 137,155
- ---------------------------------------
Komori Corp. (Japan) 5,000 128,012
- ---------------------------------------
Kon Ptt Nederland (Netherlands) 5,200 196,963
- ---------------------------------------
Lafarge Coppee S.A. (France) * 5,000 302,803
- ---------------------------------------
Marui Co. (Japan) 14,000 311,068
- ---------------------------------------
Mayr Melnhof * 10,600 113,950
- ---------------------------------------
Memtec Ltd. 2,600 94,575
- ---------------------------------------
Mitsui & Co. (Japan) 30,000 272,391
- ---------------------------------------
Nippondenso Co. (Japan) 13,000 282,906
- ---------------------------------------
Omron Corp. (Japan) 13,000 276,962
- ---------------------------------------
Service Corp. International 11,800 678,500
- ---------------------------------------
SGS Holdings (Switzerland) 135 323,408
- ---------------------------------------
Soc Elf Aquitaine (France) 4,850 356,989
- ---------------------------------------
Solvay (Belgian) 240 148,555
- ---------------------------------------
Sommer Allibert (France) 500 127,148
- ---------------------------------------
Swire Pacific (Hong Kong) 25,000 213,964
- ---------------------------------------
Tele Danmark 8,150 206,806
- ---------------------------------------
Toda Corp. (Japan) 22,000 215,243
- ---------------------------------------
Transaction Network Services Inc. * 5,100 110,925
- ---------------------------------------
VA Technologie AG (Austria) 2,550 312,541
- ---------------------------------------
Wackenhut Corp. 4,800 88,200
- ---------------------------------------
Wackenhut Corrections Corp. * 7,900 263,663
- --------------------------------------- ----------
10,034,793
MOTOR VEHICLES AND EQUIPMENT: 2.8%
Bayer Motoren Werk (Germany) 460 266,985
- ---------------------------------------
Bridgestone Corp. (Japan) 18,000 343,986
- ---------------------------------------
Chrysler Corp. 7,000 434,000
- ---------------------------------------
Custom Chrome Inc. * 2,350 62,863
- ---------------------------------------
Eaton Corp. 16,050 940,931
- ---------------------------------------
Echlin Inc. 31,150 1,179,806
- ---------------------------------------
Ford Motor Co. 35,340 1,144,133
- ---------------------------------------
General Motors Corp. 17,100 895,613
- ---------------------------------------
General Motors Corp. Series H 26,030 1,565,054
- ---------------------------------------
Goodyear Tire & Rubber Co. 13,260 639,795
- ---------------------------------------
Miller Industries Inc. * 2,800 80,150
- ---------------------------------------
Mitsubishi Motors (Japan) 31,000 272,116
- ---------------------------------------
Peugeot S.A. (France) 1,700 227,720
- --------------------------------------- ----------
8,053,150
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 5.8%
Alternative Res. Corp. * 2,600 94,575
- ---------------------------------------
Analyst International Corp. 2,000 82,750
- ---------------------------------------
Apogee Enterprises Inc. 3,100 105,788
- ---------------------------------------
Bisys Group Inc. * 2,000 75,125
- ---------------------------------------
Business Objects S.A. * 2,600 105,625
- ---------------------------------------
Cadence Design Systems Inc. * 11,900 401,625
- ---------------------------------------
Career Horizons Inc. * 6,100 213,500
- ---------------------------------------
Cisco Systems Inc. * 26,400 1,496,550
- ---------------------------------------
Clarify Inc. 800 39,400
- ---------------------------------------
CMG Information Services Inc. * 2,000 53,500
- ---------------------------------------
Computer Associates International Inc. 15,700 1,118,625
Computer Horizons Corp. * 4,905 193,134
- ---------------------------------------
Computer Products Inc. * 9,300 158,100
- ---------------------------------------
Computer Task Group Inc. 2,800 79,100
- ---------------------------------------
Comshare Inc. * 6,500 199,875
- ---------------------------------------
Corestaff Inc. * 1,950 86,775
- ---------------------------------------
Cort Business Services Corp. * 3,800 74,100
- ---------------------------------------
Cotelligent Group Inc. * 6,100 103,700
- ---------------------------------------
Data Processing Corp. * 4,300 116,369
- ---------------------------------------
Electronic Data Sys Corp. New * 16,000 860,000
- ---------------------------------------
F Y I Inc. * 2,500 45,625
- ---------------------------------------
Gensym Corp. * 1,000 22,500
- ---------------------------------------
Hewlett-Packard Co. 13,200 1,315,050
- ---------------------------------------
Honeywell Inc. 31,650 1,724,925
- ---------------------------------------
HPR Inc. * 2,000 41,750
- ---------------------------------------
IBM 10,530 1,042,470
- ---------------------------------------
Inso Corp. * 1,350 69,694
- ---------------------------------------
Labor Ready Inc. * 700 19,425
- ---------------------------------------
Lanvision Sys Inc. * 1,700 19,975
- ---------------------------------------
McAfee Associates Inc. * 3,387 166,175
- ---------------------------------------
Microsoft Corp. * 13,000 1,560,813
- ---------------------------------------
Netcom Online Communications * 1,800 48,150
- ---------------------------------------
Office Max Inc. * 21,300 508,538
- ---------------------------------------
On Assignment Inc. * 2,450 89,731
- ---------------------------------------
Pairgain Technologies Inc. 700 43,444
- ---------------------------------------
Parametric Technology Corp. * 19,800 857,588
- ---------------------------------------
Peak Technologies Group Inc. * 3,410 79,283
- ---------------------------------------
Peoplesoft Inc. * 12,400 881,950
- ---------------------------------------
Pre Paid Legal Services Inc. * 4,400 81,400
- ---------------------------------------
Project Software & Development Inc. * 1,148 54,243
- ---------------------------------------
Raptor Systems Inc. * 3,700 97,588
- ---------------------------------------
Registry Inc. * 1,800 52,650
- ---------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- ----------
<S> <C> <C>
Renaissance Solutions Inc. * 2,900 $ 81,925
Robert Half International Inc. * 6,150 171,431
Romac International Inc. * 600 15,225
SOS Staffing Services Inc. * 2,900 34,256
SPSS Inc. * 3,900 98,475
Sykes Enterprises Inc. * 3,300 164,175
Technology Solutions Co. * 4,700 163,031
Teltrend Inc. * 3,600 140,850
Unison Software Inc. * 800 20,100
U.S. Robotics Corp. 6,700 572,013
Vantive Corp. * 1,700 56,738
Vincam Group Inc. * 2,200 58,300
Workgroup Technology Corp. * 1,900 47,500
Xerox Corp. 9,330 499,155
----------
16,604,353
PAPER: 0.9%
Kimberly Clark Corp. 18,560 1,433,760
Svenska Cellulosa (Sweden) 17,500 360,833
Temple-Inland Inc. 13,400 626,450
----------
2,421,043
PETROLEUM AND PETROLEUM RELATED: 3.4%
Amoco Corp. 9,950 720,131
Atlantic Richfield Co. 4,200 497,700
British Petroleum plc 14,220 1,519,763
Burmah Castrol plc (UK) 17,533 277,331
Cosmo Oil Co. (Japan) 23,000 142,587
Enron Corp. 13,800 564,075
Halliburton Co. 18,400 1,021,200
Occidental Petroleum Corp. 41,571 1,028,882
Repsol S.A. (Spain) 11,350 395,018
Schlumberger Ltd. 8,000 674,000
Sonat Inc. 15,100 679,500
Tenneco Inc. 9,550 488,244
Total S.A. 17,552 651,618
Total (France) 5,000 371,141
Witco Corp. 20,250 696,094
----------
</TABLE> 9,727,283
<TABLE>
<S> <C> <C>
PLASTICS: 0.1%
Toray Industries Inc. (Japan) 43,000 297,243
PRINTING AND PUBLISHING: 0.3%
Dai Nippon Printing (Japan) 15,000 290,769
Times Mirror Co. New 10,500 456,750
----------
747,519
UTILITIES: 1.5%
Chubu Electric Power (Japan) 12,000 272,116
East Midlands Electric (UK) 8,900 72,427
Gaz Et Eaux (France) 195 79,614
General Electric (UK) 50,714 272,906
Hong Kong Electric 42,000 128,049
Kurita Water Industries (Japan) 8,000 195,309
Kyushu Electric Power (Japan) 6,000 135,510
North West Water (UK) 15,560 130,855
Northeast Utilities 15,750 210,656
Scottish Power (UK) 52,000 245,504
Southern Co. 28,040 690,485
Texas Utilities Co. 15,540 664,335
Union Electric Co. 15,730 633,133
Veba AG (Germany) 7,650 406,876
----------
4,137,774
Number Market
of shares value
--------- ----------
RAILROADS: 0.9%
Burlington Northern Santa Fe 9,000 $ 727,875
Canadian National Railway Co. (Canada) 37,200 683,550
East Japan Railway (Japan) 55 289,169
Union Pacific Corp. 11,350 793,081
----------
2,493,676
REAL ESTATE: 0.4%
Amoy Properties (Hong Kong) 152,000 183,599
Cheung Kong Holdings (Hong Kong) 65,000 468,136
Hong Kong Land Holdings (Hong Kong) 69,000 155,250
Sun Hung Kai Properties (Hong Kong) 28,000 283,046
----------
1,090,031
RESORT: 0.0%
Genting Berhad (Malaysia) 500 3,909
RESTAURANT: 0.1%
Apple South Inc. 3,500 93,625
<S> <C> <C>
Landry's Seafood Restaurant Inc. * 3,800 92,625
Morton's Restaurant Group Inc. * 2,500 43,750
Studio Plus America Inc. 3,850 126,088
----------
356,088
RETAIL: 3.5%
99 Cents Only Stores * 1,200 16,800
Argyll Group (UK) 28,100 151,432
Dayton Hudson Corp. 15,550 1,603,594
Federated Department Stores Inc. * 22,600 771,225
Hollywood Entertainment Corp. * 6,800 106,250
ITO Yokado Co. (Japan) 7,000 423,079
K Mart Corp. 51,130 632,734
Loehmanns Inc. New * 3,400 78,413
Mark Brothers Jewelers Inc. * 3,500 79,188
May Department Stores Co. 13,300 581,875
Michelin CGDE (France) 5,600 274,360
Party City Corp. * 1,800 31,275
Penney (J.C.) Co. Inc. 17,350 910,875
Petco Animal Supplies Inc. * 1,500 43,125
Rexall Sundown Inc. * 10,998 299,696
Rite Aid Corp. 19,250 572,688
Sears (UK) 50,000 76,875
Sears, Roebuck & Co. 40,550 1,971,744
TJX Cos. Inc. 12,700 428,625
Vendex International (Netherlands) 5,100 177,924
Walgreen Co. 18,500 619,750
West Marine Inc. * 1,600 113,600
----------
9,965,125
SECURITIES DEALERS: 0.2%
Daiwa Securities (Japan) 27,000 348,100
Dean Witter Discover & Co. 1 57
Securicor (UK) 60,767 246,786
----------
594,944
SHIP BUILDING: 0.0%
Far East Levingst (Singapore) 9,000 49,752
SHOES: 0.1%
Vans Inc. * 4,800 81,300
Wolverine World Wide Inc. 5,560 180,700
----------
262,000
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------------- ------------
<S> <C> <C>
SOAPS, CLEANER AND COSMETICS: 0.4%
Avon Products Inc. 16,300 $ 735,538
- -------------------------------------------------
Clorox Co. 3,900 345,638
- -------------------------------------------------
French Fragrances Inc. * 6,600 39,600
- ------------------------------------------------- ------------
1,120,775
STEEL: 0.1%
Bekaert S.A. (Belgium) 248 200,054
- -------------------------------------------------
TELECOMMUNICATIONS: 3.3%
American Telephone & Telegraph Co. 10,440 647,280
- -------------------------------------------------
Bell Atlantic Corp. 14,560 928,200
- -------------------------------------------------
Bellsouth Corp. 15,630 652,990
- -------------------------------------------------
Boston Communications Group * 100 1,638
- -------------------------------------------------
CAI Wireless Systems Inc. * 18,800 1,314,188
- -------------------------------------------------
Cellular Communications International * 1 33
- -------------------------------------------------
Centennial Cellular Corp. * 2,700 45,225
- -------------------------------------------------
Comnet Cellular Inc. * 1,865 56,300
- -------------------------------------------------
EZ Communications Inc. * 4,100 98,913
- -------------------------------------------------
GTE Corp. 42,750 1,913,063
- -------------------------------------------------
Heftel Broadcasting Corp. * 3,200 94,400
- -------------------------------------------------
ICT Group Inc. 800 15,300
- -------------------------------------------------
Intermedia Communications of Florida Inc. * 2,400 77,400
- -------------------------------------------------
MCI Communications Corp. 36,000 920,250
- -------------------------------------------------
Midcom Communications Inc. * 7,700 109,725
- -------------------------------------------------
Nippon Telephone & Telegraph CP (Japan) 39 289,562
- -------------------------------------------------
SBC Communications Inc. 18,750 923,438
- -------------------------------------------------
Tele Communications Inc. New * 16,775 445,586
- -------------------------------------------------
Telecomunicacoes Brasileras 5,200 362,050
- -------------------------------------------------
U.S. Long Distance Corp. * 3,900 137,719
- -------------------------------------------------
Vodafone Group (UK) 75,860 282,163
- ------------------------------------------------- ------------
9,315,421
TEXTILES-APPAREL MANUFACTURING: 0.2%
Chargeurs International (France) * 320 14,315
- -------------------------------------------------
Nautica Enterprises Inc. * 4,610 133,114
- -------------------------------------------------
Onward Kashiyama (Japan) 6,000 98,203
- -------------------------------------------------
St. John Knits Inc. 7,000 312,375
- ------------------------------------------------- ------------
558,007
TRANSPORTATION: 0.1%
Expeditores International of Washington Inc. 3,325 102,244
- -------------------------------------------------
Yamato Transport (Japan) 11,000 129,749
- ------------------------------------------------- ------------
231,993
TRUCKING COMPANIES: 0.2%
Ryder System Inc. 20,120 565,875
- ------------------------------------------------- ------------
TOTAL COMMON STOCKS: 59.9%
(Cost $144,104,732) 169,961,202
- -------------------------------------------------
PREFERRED STOCKS:
Case Equipment Inc. 4,655 538,816
- -------------------------------------------------
K Mart Financing I * 5,930 321,703
- ------------------------------------------------- ------------
TOTAL PREFERRED STOCKS: 0.3%
(Cost $773,078) 860,519
- -------------------------------------------------
Par
MONEY MARKET INSTRUMENTS: amount
---------------
New Zealand Treasury Bills
. 1.0%, 9/18/96 $ 810,000 541,611
- -------------------------------------------------
Market
value
------------
TOTAL MONEY MARKET INSTRUMENTS: 0.2%
(Cost $541,611) $ 541,611
- -------------------------------------------------
Par
amount **
-----------
OPTIONS PURCHASED:
Japan Government Bond
Put expiring 7/20/96, strike price 118.22 $ 568,900,000 63,147
Put expiring 7/8/96, strike price 119.12 144,243,260 6,346
- ------------------------------------------------- ------------
TOTAL OPTIONS PURCHASED
(Cost $52,008) 69,493
- -------------------------------------------------
Maturity
REPURCHASE AGREEMENT: amount
--------------
Shearson Lehman repurchase agreement,
dated 6/28. 6.55%, maturing 7/1/96 collaterized by
U. S. Treasury Notes 6.5%, 4/30/99. $ 19,911,000 19,911,000
------------
TOTAL REPURCHASE AGREEMENT: 7.0%
(Cost $19,911,000) 19,911,000
- ------------------------------------------------- ------------
TOTAL INVESTMENTS: 100.1%
(Cost $238,413,672) 284,136,745
- -------------------------------------------------
Other assets under liabilities: (0.1)% (230,948)
- ------------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $13.254 per share based on
21,421,175 shares issued and outstanding) $283,905,797
- ------------------------------------------------- ============
GROWTH AND INCOME FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Number Market
COMMON STOCKS: of shares value
---------- ------------
AEROSPACE: 2.1%
McDonnell Douglas Corp. 557,600 $ 27,043,600
- -------------------------------------------------
United Technologies Corp. 157,300 18,089,500
- ------------------------------------------------- ------------
45,133,100
AIR TRANSPORTATION: 1.5%
AMR Corp. * 215,100 19,574,100
- -------------------------------------------------
Northwest Airlines Corp. * 309,900 1,224,105
- ------------------------------------------------- ============
31,815,150
BANKING AND INSURANCE: 11.0%
AllState Corp. 87,849 4,008,111
- -------------------------------------------------
Bank of Boston Corp. 586,300 29,021,850
- -------------------------------------------------
Bank of New York Inc. 502,500 25,753,125
- -------------------------------------------------
Chase Manhattan Corp. New 528,200 37,304,125
- -------------------------------------------------
Cigna Corp. 273,700 32,262,388
- -------------------------------------------------
First Chicago NBD Corp. 615,943 24,098,770
- -------------------------------------------------
Marsh & McLennan Companies Inc. 165,600 15,980,400
- -------------------------------------------------
Nations Bank Corp. 227,500 18,797,188
- -------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
------------- ------------
<S> <C> <C>
Transamerica Corp. 189,700 $ 15,365,700
- ------------------------------------
Travelers Inc. 846,450 38,619,281
- ------------------------------------ ------------
241,210,937
BROADCASTING: 0.5%
King World Productions Inc. * 328,900 11,963,738
- ------------------------------------
BUILDING MATERIALS: 1.0%
Dover Corp. 465,400 21,466,575
- ------------------------------------
BUILDING AND CONSTRUCTION: 0.1%
Kaufman & Broad Home Corp. 138,500 2,008,250
- ------------------------------------
CHEMICALS: 6.9%
Dow Chemical Co. 251,000 19,076,000
- ------------------------------------
Eastman Chemical Co. 118,300 7,201,513
- ------------------------------------
Olin Corp. 179,400 16,011,450
- ------------------------------------ ------------
42,288,963
CONSUMER PRODUCTS AND SERVICES: 6.9%
American Brands Inc. 153,500 6,965,063
- ------------------------------------
Black & Decker Corp. 323,000 12,475,875
- ------------------------------------
Johnson & Johnson 533,800 26,423,100
- ------------------------------------
Omnicom Group Inc. 232,800 10,825,200
- ------------------------------------
Philip Morris Co. Inc. 622,100 64,698,400
- ------------------------------------
Procter & Gamble Co. 320,700 29,063,438
- ------------------------------------ ------------
150,451,075
DRUG AND HOSPITAL SUPPLIES: 8.7%
Abbott Laboratories 504,100 21,928,350
- ------------------------------------
Advanced Technology Laboratories Inc. * 169,800 6,197,700
- ------------------------------------
Baxter International Inc. 637,500 30,121,875
- ------------------------------------
Bristol Myers Squibb Co. 510,000 45,900,000
- ------------------------------------
Lilly (Eli) & Co. 260,000 16,900,000
- ------------------------------------
Merck & Co. Inc. 359,100 23,206,838
- ------------------------------------
Pharmacia & Upjohn Inc. 180,190 7,995,931
- ------------------------------------
Schering-Plough Corp. 614,100 38,534,775
- ------------------------------------ ------------
190,785,469
ELECTRICAL AND ELECTRONICS: 7.6%
Analog Devices Inc. * 475,600 12,127,800
- ------------------------------------
Applied Materials Inc. * 711,200 21,691,600
- ------------------------------------
General Electric Co. 676,300 58,499,950
- ------------------------------------
Harris Corp. 306,300 18,684,300
- ------------------------------------
International Rectifier Corp. * 845,700 13,636,913
- ------------------------------------
KLA Instruments Corp. * 265,100 6,163,575
- ------------------------------------
Komag Inc. * 1,063,000 28,036,625
- ------------------------------------
Silicon Valley Group Inc. * 446,600 8,373,750
- ------------------------------------ ------------
167,214,513
ENTERTAINMENT: 2.2%
Brunswick Corp. 299,700 5,994,000
- ------------------------------------
Callaway Golf Co. 496,200 16,498,650
- ------------------------------------
Mirage Resorts Inc. * 473,100 25,547,400
- ------------------------------------ ------------
48,040,050
FINANCIAL SERVICES: 1.0%
Student Loan Marketing Association 297,300 22,000,200
- ------------------------------------
FOOD AND BEVERAGE: 7.1%
Campbell Soup Co. 70,300 4,956,150
- ------------------------------------
Coca Cola Co. 659,400 32,228,175
- ------------------------------------
ConAgra Inc. 331,900 15,059,963
- ------------------------------------
CPC International Inc. 146,100 10,519,200
- ------------------------------------
Heinz H.J. Co. 407,150 12,367,181
- ------------------------------------
IBP Inc. 710,600 19,630,325
- ------------------------------------
RJR Nabisco Holding Corp. 862,920 26,750,520
- ------------------------------------
Safeway Inc. * 862,000 28,446,000
- ------------------------------------
Universal Foods Corp. 142,600 5,258,375
- ------------------------------------ ------------
155,215,889
MACHINERY AND ENGINEERING: 0.8%
Novellus Systems Inc. * 464,000 16,704,000
- ------------------------------------
METALS AND MINING: 1.5%
Cyprus Amax Minerals Co. 413,200 9,348,650
- ------------------------------------
Phelps Dodge Corp. 378,600 23,615,175
- ------------------------------------ ------------
32,963,825
MOTOR VEHICLES AND EQUIPMENT: 2.9%
Chrysler Corp. 602,800 37,373,600
- ------------------------------------
Dana Corp. 280,800 8,704,800
- ------------------------------------
Ford Motor Co. 204,900 6,633,638
- ------------------------------------
Goodrich BF Co. 308,600 11,533,925
- ------------------------------------ ------------
64,245,963
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 7.3%
Adaptec Inc. * 122,200 5,789,225
- ------------------------------------
Cabletron Systems Inc. 315,900 21,678,638
- ------------------------------------
Cadence Design Systems Inc. * 616,575 20,809,406
- ------------------------------------
Cisco Systems Inc. * 300,600 17,021,475
- ------------------------------------
Computer Associates International Inc. 95,300 6,790,125
- ------------------------------------
Digital Equipment Corp. * 126,500 5,692,500
- ------------------------------------
Honeywell Inc. 227,200 12,382,400
- ------------------------------------
Parametric Technology Corp. * 40,800 1,769,700
- ------------------------------------
Pitney Bowes Inc. 481,700 23,001,175
- ------------------------------------
Reynolds & Reynolds Co. 209,200 11,139,900
- ------------------------------------
Structural Dynamics Research Corp. * 182,100 4,006,200
- ------------------------------------
Sun Microsystems Inc. * 488,000 28,731,000
- ------------------------------------ ------------
158,811,744
PAPER: 2.1%
Avery Dennison Corp. 204,100 11,199,988
- ------------------------------------
Bowater Inc. 546,800 20,573,350
- ------------------------------------
Stone Container Corp. 465,500 6,400,625
- ------------------------------------
Union Camp Corp. 151,600 7,390,500
- ------------------------------------ ------------
45,564,463
PETROLEUM AND PETROLEUM RELATED: 9.9%
Amoco Corp. 328,000 23,739,000
- ------------------------------------
Atlantic Richfield Co. 92,900 11,008,650
- ------------------------------------
Exxon Corp. 574,400 49,901,000
- ------------------------------------
Halliburton Co. 277,800 15,417,900
- ------------------------------------
Mobil Corp. 292,300 32,774,138
- ------------------------------------
Occidental Petroleum Corp. 940,300 23,272,425
- ------------------------------------
Royal Dutch Petroleum Co. 147,600 22,693,500
- ------------------------------------
Seagull Energy Corp. * 209,500 5,237,500
- ------------------------------------
Texaco Inc. 67,000 5,619,625
- ------------------------------------
Williams Companies Inc. 554,300 27,437,850
- ------------------------------------ ------------
217,101,588
PRINTING AND PUBLISHING: 1.0%
Deluxe Corp. 145,900 5,179,450
- ------------------------------------
Harcourt General Inc. 128,000 6,400,000
- ------------------------------------
New York Times Co. 321,800 10,498,725
- ------------------------------------ ------------
22,078,175
PUBLIC UTILITIES: 3.7%
Baltimore Gas & Electric Co. 150,900 4,281,788
- ------------------------------------
Consolidated Edison Co. 806,600 23,593,050
- ------------------------------------
Edison International 203,700 3,590,213
- ------------------------------------
General Public Utilities Corp. 272,450 9,603,863
- ------------------------------------
New York State Electric & Gas Corp. 331,300 8,075,438
- ------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
----------- --------------
<S> <C> <C>
Texas Utilities Co. 239,600 $ 10,242,900
- ---------------------------------------------------------
Unicom Corp. 740,300 20,635,863
- --------------------------------------------------------- --------------
80,023,113
RETAIL: 3.7%
Eckerd Corp. * 230,600 5,217,325
- ---------------------------------------------------------
Jostens Inc. 56,100 1,107,975
- ---------------------------------------------------------
Pier 1 Imports Inc. 466,700 6,942,163
- ---------------------------------------------------------
Ross Stores Inc. 166,300 5,778,925
- ---------------------------------------------------------
Sears, Roebuck & Co. 228,200 11,096,225
- ---------------------------------------------------------
Staples Inc. * 875,700 17,076,150
- ---------------------------------------------------------
The Gap Inc. 854,200 27,441,175
- ---------------------------------------------------------
Waban Inc. * 252,500 6,028,438
- --------------------------------------------------------- --------------
80,688,375
SECURITIES DEALERS: 1.6%
Bear, Stearns & Co. Inc. 847,455 20,021,124
- ---------------------------------------------------------
Morgan Stanley Group Inc. 122,900 6,037,463
- ---------------------------------------------------------
Paine Webber Group Inc. 367,900 8,737,625
- --------------------------------------------------------- --------------
34,796,212
SHOES: 0.9%
Nike Inc. 187,500 19,265,625
- ---------------------------------------------------------
SOAPS, CLEANER AND COSMETICS: 1.2%
Clorox Co. 303,400 26,888,825
- ---------------------------------------------------------
TELECOMMUNICATIONS: 8.1%
American Telephone & Telegraph Co. 345,200 21,402,400
- ---------------------------------------------------------
Ameritech Corp. 607,500 36,070,313
- ---------------------------------------------------------
Bell Atlantic Corp. 112,500 7,171,875
- ---------------------------------------------------------
Bellsouth Corp. 573,600 24,306,300
- ---------------------------------------------------------
GTE Corp. 788,700 35,294,325
- ---------------------------------------------------------
Nynex Corp. 276,100 13,114,750
- ---------------------------------------------------------
Pacific Telesis Group 995,800 33,608,250
- ---------------------------------------------------------
SBC Communications Inc. 135,800 6,688,150
- --------------------------------------------------------- --------------
177,656,363
TRANSPORTATION: 0.2%
PHH Corp. 92,700 5,283,900
- --------------------------------------------------------- --------------
TOTAL COMMON STOCKS: 96.5%
(Cost $1,636,486,675) 2,111,666,075
Par
MONEY MARKET INSTRUMENTS: amount
-----------
A.I. Credit Corp.
. 5.35%, 7/1/96 $ 7,400,000 7,395,601
- ---------------------------------------------------------
G.E. Capital Corp.
. 5.37%, 7/16/96 1,000,000 997,017
- ---------------------------------------------------------
Merrill Lynch
. 5.554%, 7/8/96 12,600,000 12,551,315
. 5.37%, 7/9/96 6,800,000 6,773,676
. 5.551%, 7/11/96 4,100,000 4,089,545
- ---------------------------------------------------------
Nalco Chemical Co.
. 5.34%, 7/15/96 15,000,000 14,924,350
- ---------------------------------------------------------
Pepsico
. 5.36%, 7/16/96 2,700,000 2,692,764
- ---------------------------------------------------------
PHH Corp.
. 5.33%, 7/15/96 10,700,000 10,644,553
- ---------------------------------------------------------
Prudential Funding Inc.
. 5.37%, 7/18/96 14,000,000 13,951,968
- ---------------------------------------------------------
Smith Barney
. 5.37%, 7/16/96 2,600,000 2,589,529
- ---------------------------------------------------------
Sony Capital Corp.
. 5.32%, 7/2/96 11,300,000 11,254,913
- ---------------------------------------------------------
Temple-Inland Inc
. 5.498%, 7/16/96 1,680,000 1,671,278
. 5.531%, 7/24/96 5,800,000 5,770,584
- ---------------------------------------------------------
Toyota Motor Credit
. 5.32%, 7/11/96 3,600,000 3,587,232
- --------------------------------------------------------- --------------
TOTAL MONEY MARKET INSTRUMENTS: 4.5%
(Cost $98,894,326) 98,894,326
- --------------------------------------------------------- --------------
TOTAL INVESTMENTS: 101.0%
(Cost $1,735,381,001) 2,210,560,401
- ---------------------------------------------------------
Other assets under liabilities: (1.0)% (22,704,488)
- --------------------------------------------------------- --------------
NET ASSETS: 100.0%
(equivalent to $30.582 per share based on
71,540,210 shares issued and outstanding) $2,187,855,913
- --------------------------------------------------------- ==============
INTERNATIONAL FUND
Statement of net assets - unaudited
June 30, 1996
INVESTMENTS:
Number Market
COMMON STOCKS: of shares value
--------- --------------
ARGENTINA: 0.6%
Argentinian Investment Co. 121,400 $ 2,731,500
- ---------------------------------------------------------
AUSTRALIA: 1.4%
Western Mining CP 350,000 2,502,947
- ---------------------------------------------------------
Woodside Petroleum Ltd. 565,000 3,392,220
- --------------------------------------------------------- --------------
5,895,167
BRAZIL: 1.5%
Brazilian Investment Co. 110,900 3,938,059
- ---------------------------------------------------------
Telecomunicacoes Brasileras 33,400 2,325,475
- --------------------------------------------------------- --------------
6,263,534
CHILE: 0.8%
Genesis Chile Fund 83,500 3,465,250
- ---------------------------------------------------------
CHINA: 0.4%
China North Industries 2,850,000 1,738,500
- ---------------------------------------------------------
CZECH REPUBLIC: 0.2%
Komercni Banka A S 26,500 702,250
- ---------------------------------------------------------
DENMARK: 1.1%
Sophus Berendsen 33,000 4,417,105
- ---------------------------------------------------------
FINLAND: 0.5%
Nokia A 60,800 2,244,753
- ---------------------------------------------------------
FRANCE: 7.8%
AXA 66,914 3,649,074
- ---------------------------------------------------------
Axime (Ex Segin) 15,150 2,120,694
- ---------------------------------------------------------
Carrefour 14,200 5,943,814
- ---------------------------------------------------------
Casino Guich Perr 44,000 1,808,383
- ---------------------------------------------------------
Casino Guichard Perrachon 44,000 68,435
- ---------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- -------------
<S> <C> <C>
Salomon S.A. 3,000 $ 2,744,187
- ---------------------------------------------------------
Strafor Facom 56,400 4,455,113
- ---------------------------------------------------------
Technip 43,300 3,990,240
- ---------------------------------------------------------
TF1 35,950 4,109,690
- ---------------------------------------------------------
Total 50,000 3,711,408
- --------------------------------------------------------- --------------
32,601,038
GERMANY: 8.2%
Altana AG 5,560 4,298,441
- ---------------------------------------------------------
Douglas Holding AG 78,750 3,143,785
- ---------------------------------------------------------
Gehe AG 4,280 2,876,791
- ---------------------------------------------------------
Hoechst AG 122,200 4,147,004
- ---------------------------------------------------------
Mannesmann AG 11,800 4,082,078
- ---------------------------------------------------------
SAP AG 24,700 3,666,419
- ---------------------------------------------------------
SGL Carbon 38,300 4,483,657
- ---------------------------------------------------------
Siemens AG 67,400 3,603,828
- ---------------------------------------------------------
Veba AG 82,300 4,377,245
- --------------------------------------------------------- --------------
34,679,248
HONG KONG: 5.8%
Amoy Properties 1,538,500 1,858,332
- ---------------------------------------------------------
Cheung Kong Holdings 603,000 4,342,865
- ---------------------------------------------------------
Dao Heng Bank Group 870,000 3,360,505
- ---------------------------------------------------------
First Pacific Co. 2,694,000 4,141,510
- ---------------------------------------------------------
Goldlion Holdings Ltd. 2,011,000 1,727,619
- ---------------------------------------------------------
Hutchison Whampoa Ltd. 363,000 2,283,756
- ---------------------------------------------------------
Peregrine Investment Holdings * 2,447,500 3,232,528
- ---------------------------------------------------------
Swire Pacific 415,000 3,551,797
- --------------------------------------------------------- --------------
24,498,912
INDIA: 0.9%
India Magnum Fund * 72,385 3,764,020
- ---------------------------------------------------------
IRELAND: 1.6%
Waterford Wedgewood 2,580,000 3,336,207
- ---------------------------------------------------------
Elan Corp. plc * 55,800 3,187,575
- --------------------------------------------------------- --------------
6,523,782
ITALY: 3.7%
Banca Fideuram Spa 1,500,000 3,252,245
- ---------------------------------------------------------
Eni Spa 812,000 4,054,034
- ---------------------------------------------------------
Fila Holdings Spa Adr 40,600 3,501,750
- ---------------------------------------------------------
Telecom Italia Mobile 2,079,000 4,650,171
- --------------------------------------------------------- --------------
15,458,201
JAPAN: 27.8%
Amway Japan Ltd. 91,200 4,586,476
- ---------------------------------------------------------
Anritsu Corp. 120,000 1,667,810
- ---------------------------------------------------------
Asahi Bank 296,000 3,437,297
- ---------------------------------------------------------
Bank Of Tokyo Mits 129,150 2,999,506
- ---------------------------------------------------------
Bridgestone Corp. 186,000 3,554,519
- ---------------------------------------------------------
Canon Inc. 252,000 5,257,776
- ---------------------------------------------------------
Daiwa Securities 260,000 3,352,078
- ---------------------------------------------------------
DDI Corp. 401 3,505,290
- ---------------------------------------------------------
Hitachi Ltd. 284,000 2,648,745
- ---------------------------------------------------------
Hitachi Zosen Corp. 613,000 3,480,757
- ---------------------------------------------------------
Honda Motor Co. 175,000 4,544,415
- ---------------------------------------------------------
Keyence Corp. 26,500 3,610,387
- ---------------------------------------------------------
Kinden Corp. 16,900 265,789
- ---------------------------------------------------------
Kuraray Co. 147,000 1,653,271
- ---------------------------------------------------------
Kyocera Corp. 20,000 1,417,272
- ---------------------------------------------------------
Mabuchi Motor Co. 49,400 3,152,855
- ---------------------------------------------------------
Mitsubishi Estate 251,000 3,465,551
- ---------------------------------------------------------
Mitsubishi Heavy Industries 513,000 4,470,251
- ---------------------------------------------------------
Mitsubishi Trust & Banking 206,000 3,484,661
- ---------------------------------------------------------
Nichiei Co. 50,900 3,397,522
- ---------------------------------------------------------
Nichii Co. 190,000 3,161,889
- ---------------------------------------------------------
Nintendo Co. 49,200 3,670,937
- ---------------------------------------------------------
Nippon Steel Corp. 536,000 1,842,783
- ---------------------------------------------------------
Nippon Telephone & Telegraph CP 351 2,606,062
- ---------------------------------------------------------
Nippon TV Network 8,100 2,518,173
- ---------------------------------------------------------
NKK Corp. 1,000,000 3,035,706
- ---------------------------------------------------------
NTT Data Communications System 50 1,499,566
- ---------------------------------------------------------
Omron Corp. 135,000 2,876,149
- ---------------------------------------------------------
Ricoh Co. 271,000 2,874,411
- ---------------------------------------------------------
Rohm Co. 57,000 3,773,419
- ---------------------------------------------------------
Secom Co. 44,000 2,912,815
- ---------------------------------------------------------
Seven Eleven Japan 28,700 1,834,344
- ---------------------------------------------------------
Sharp Corp. 249,000 4,371,417
- ---------------------------------------------------------
Shin Etsu Chemical Co. 154,350 2,963,791
- ---------------------------------------------------------
Sony Corp. 52,400 3,454,524
- ---------------------------------------------------------
Toda Corp. 336,000 3,287,341
- ---------------------------------------------------------
Yamatake Honeywell 176,000 3,202,487
- ---------------------------------------------------------
Yamato Transport 255,000 3,007,818
- --------------------------------------------------------- --------------
116,845,862
MALAYSIA: 1.9%
Hong Leong Credit 439,000 2,076,649
- ---------------------------------------------------------
Hong Leong Properties BHD 1,500,000 1,743,836
- ---------------------------------------------------------
Ioi Corp. 937,000 1,299,667
- ---------------------------------------------------------
Malaysian Resources Corp. 545,000 1,332,732
- ---------------------------------------------------------
Ytl Corp. 300,000 1,563,440
- --------------------------------------------------------- --------------
8,016,324
MEXICO: 1.1%
Pan American Beverage 98,700 4,416,825
- --------------------------------------------------------- --------------
NETHERLANDS: 7.1%
Ahrend NV 40,000 1,794,195
- ---------------------------------------------------------
Gist Brocades NV 121,200 4,000,915
- ---------------------------------------------------------
Gucci Group N V 49,600 3,199,200
- ---------------------------------------------------------
IHC Caland NV 59,400 2,925,594
- ---------------------------------------------------------
Ing Groep NV 121,000 3,611,199
- ---------------------------------------------------------
Oce V/D Grinten NV 30,000 3,180,299
- ---------------------------------------------------------
Polygram NV 50,900 3,008,338
- ---------------------------------------------------------
Randstad Holdings 53,100 3,922,955
- ---------------------------------------------------------
Wolters Kluwer NV 38,400 4,365,734
- --------------------------------------------------------- --------------
30,008,429
NEW ZEALAND: 1.7%
Carter Holt Harvey 1,185,000 2,714,861
- ---------------------------------------------------------
Telecom Corp. of New Zealand 736,000 3,098,947
- ---------------------------------------------------------
Wilson & Horton 182,250 1,216,254
- --------------------------------------------------------- --------------
7,030,062
NORWAY: 0.9%
Orkla Asa 70,000 3,689,264
- ---------------------------------------------------------
PORTUGAL: 1.0%
Portugal Telecom S.A. 160,000 4,200,000
- ---------------------------------------------------------
SINGAPORE: 1.6%
Keppel Corp. 352,000 2,943,728
- ---------------------------------------------------------
Overseas Chinese Banking Corp. 342,650 3,892,094
- --------------------------------------------------------- --------------
6,835,822
SOUTH KOREA: 1.2%
Korea International Investment Fund III * 14,901 1,939,216
- ---------------------------------------------------------
Korea International Investment Fund IV * 31,550 3,040,474
- --------------------------------------------------------- --------------
4,979,690
SPAIN: 2.1%
Aguas De Barcelona * 37,500 1,394,477
- ---------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
---------- ------------
<S> <C> <C>
Centros Com Pryca 101,000 $ 2,524,901
- ---------------------------------------
Corporacion Mapfre 50,600 2,585,243
- ---------------------------------------
Repsol S.A. 70,000 2,436,233
- --------------------------------------- ------------
8,940,854
SWEDEN: 1.7%
Astra AB 69,290 3,066,717
- ---------------------------------------
Ericsson (LM) Tel 196,400 4,242,413
- --------------------------------------- ------------
7,309,130
SWITZERLAND: 5.8%
Ares Serono S.A. 2,560 2,252,440
- ---------------------------------------
BBC Brown Boveri 3,290 4,073,684
- ---------------------------------------
Elektrowatt AG 10,500 3,888,578
- ---------------------------------------
Roche Holdings AG - Warrants 298 2,275,164
- ---------------------------------------
Sandoz AG 4,200 4,807,391
- ---------------------------------------
SCHW Ruckversicher 3,190 3,278,795
- ---------------------------------------
SMH AG Neuenburg 5,300 3,688,210
- --------------------------------------- ------------
24,264,262
TAIWAN: 0.5%
R O C Taiwan Fund * 189,800 2,158,975
- --------------------------------------
UNITED KINGDOM: 9.4%
British Petroleum 443,800 3,894,192
- --------------------------------------
Carlton Communications plc 563,500 4,533,204
- --------------------------------------
Cookson Group 819,000 3,599,581
- --------------------------------------
Electrocomponents 720,600 4,269,435
- --------------------------------------
Reed Elsevier International 218,000 3,644,619
- --------------------------------------
Reuters Holdings 335,000 4,052,881
- --------------------------------------
Siam Fund * 32,000 1,952,000
- --------------------------------------
Standard Chartered Bank 422,600 4,206,967
- --------------------------------------
Thorn EMI 145,000 4,039,913
- --------------------------------------
Videotron * 86,000 1,591,000
- --------------------------------------
Vodafone Group 1,027,000 3,819,949
- -------------------------------------- ------------
39,603,739
------------
TOTAL COMMON STOCKS: 98.3%
(Cost $361,162,668) 43,368,170 413,282,496
- --------------------------------------
Maturity
REPURCHASE AGREEMENT: amount
--------
State Street Bank and Trust Co. repurchase
agreement, dated 6/28/96, 4.75%, maturing
7/1/96 collateralized by U.S. Treasury
Notes 6.5%, 4/30/99. $ 3,353,000 3,353,000
- -------------------------------------- ------------
TOTAL REPURCHASE AGREEMENT: 0.8%
(Cost $3,353,000) 3,353,000
- -------------------------------------- ------------
TOTAL INVESTMENTS: 99.1%
(Cost $364,515,688) 416,635,496
- --------------------------------------
Other assets over liabilities: 0.9% 3,967,189
- -------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $14.260 per share based on
29,495,660 shares issued and outstanding) $420,602,685
- -------------------------------------- ============
<PAGE>
MANAGED FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Par Market
LONG-TERM DEBT INVESTMENTS: amount value
------------ ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 17.5%
Federal Home Loan Mortgage Corp.
. 6.3%, 4/8/99 $ 9,320,000 $ 9,268,833
. 6.4265%, 10/15/06 2,000,000 1,910,340
. 7.3%,12/15/12 2,984,588 2,927,284
. 8.5%, 1/1/17 1,090,112 1,120,275
- --------------------------------------
FNMA
. 7.56% Principal Strip, 12/20/01 4,000,000 3,886,040
. 7.6%, 7/25/05 1,266,598 1,282,430
. 6.73%, 8/1/05 2,134,175 2,069,958
. 7.175%, 10/1/05 3,979,097 3,975,794
. 6.665%, 11/1/05 994,943 959,373
. 6.66%, 12/1/05 1,990,972 1,908,984
. 7.0% Principal Strip, 4/12/06 6,000,000 4,821,540
. 0.0% Debenture, 7/5/14 * 2,500,000 671,875
. 7.175%, 10/1/15 2,956,305 2,904,659
. 7.5%, 5/25/20 4,000,000 3,956,760
. 7.0%, 10/1/25 2,934,601 2,818,772
- --------------------------------------
GNMA
. 6.5%, 12/15/23 1,348,644 1,267,888
Tennessee Valley Authority Generic *
. 0.0%, 11/1/00 11,500,000 8,656,395
- --------------------------------------
U.S. Treasury Notes
. 5.375%, 11/30/97 2,000,000 1,983,120
. 5.375%, 5/31/98 5,000,000 4,932,800
. 6.375%, 5/15/99 20,800,000 20,852,000
. 6.25%, 2/15/03 13,600,000 13,353,432
. 0.0%, 11/15/09 27,000,000 10,593,720
. 0.0%, 11/15/18 33,200,000 6,806,332
- -------------------------------------- ------------
112,928,604
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.3%
Mid State Trust III
. 9.625%, 4/1/22 295,498 300,285
- --------------------------------------
Prudential Home Mortgage
. 6.7%, 11/25/07 1,500,000 1,472,085
- -------------------------------------- ------------
1,772,370
AIR TRANSPORTATION: 1.1%
American Airlines Equipment Trust
. 10.18%, 1/2/13 1,500,000 1,789,200
- --------------------------------------
Delta Air Lines Inc.
.8.25%, Med. Term Note, 12/27/07 1,500,000 1,610,385
- --------------------------------------
Federal Express Corp.
.7.96%, 3/28/17 2,000,000 2,005,280
- --------------------------------------
United Airline Inc. Equipment Trust
. 9.35%, 4/7/16 1,500,000 1,618,080
- -------------------------------------- ------------
7,022,945
BANKING AND INSURANCE: 4.0%
Ahmanson H F & Co.
. 8.25%, 10/1/02 2,000,000 2,104,460
- --------------------------------------
Banc One Corp.
. 9.875%, 3/1/09 500,000 597,510
- --------------------------------------
Barnett Banks Inc.
. 6.5%, 9/1/05 1,500,000 1,454,040
- --------------------------------------
Chase Manhattan Corp.
. 6.5% Subordinated Note, 1/15/09 3,000,000 2,754,150
- --------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount value
------------ -----------
<S> <C> <C>
First America Bank Corp.
. 7.75% Subordinated Note, 7/15/04 $ 2,000,000 $ 2,045,880
- ------------------------------------
First Tennessee National Corp.
. 6.75% Subordinated Note, 11/15/05 1,600,000 1,518,976
- ------------------------------------
First Union Corp.
. 8.0%, 8/15/09 2,000,000 2,063,340
- ------------------------------------
First USA Bank
. 5.75%, 1/15/99 2,000,000 1,950,700
- ------------------------------------
Fleet Financial Group
. 7.65%, 9/1/99 1,000,000 1,016,410
- ------------------------------------
National Westminster Bancorp
. 3.69%, 7/30/49 3,000,000 2,617,500
- ------------------------------------
National Westminster Bank plc
. 9.45% Debentures, 5/1/01 500,000 551,440
- ------------------------------------
Nations Bank Corp.
. 8.125% Subordinated Debentures, 6/15/02 1,000,000 1,051,080
- ------------------------------------
Southtrust Bank Birmingham Alabama
. 7.69%, 5/15/25 2,750,000 2,855,050
- ------------------------------------
Travelers Inc.
. 8.63%, 2/1/07 3,000,000 3,242,040
- ------------------------------------ ----------
25,822,576
BROADCASTING: 0.1%
Viacom Inc.
. 8.75%, 5/15/01 500,000 506,250
- ------------------------------------
CONSUMER PRODUCTS AND SERVICES: 0.2%
Service Corp. International
. 7.0% Senior Note, 6/1/15 1,000,000 1,004,220
- ------------------------------------
ELECTRICAL AND ELECTRONICS: 0.2%
Litton Industries Inc.
. 6.98% Senior Debenture, 3/15/36 1,000,000 974,500
- ------------------------------------
ENTERTAINMENT: 0.3%
Time Warner Inc.
. 8.88%, 10/1/12 500,000 516,370
. 9.125%, 1/15/13 1,500,000 1,567,230
- ------------------------------------ ----------
2,083,600
FINANCE: 3.7%
Aristar Finance
. 7.5% Senior Subordinated Note, 7/1/99 1,500,000 1,533,915
- ------------------------------------
Avco Financial Services Inc.
. 7.25%, 7/15/99 1,000,000 1,016,930
- ------------------------------------
Chrysler Financial Corp.
. 9.5%, 12/15/99 1,500,000 1,624,440
- ------------------------------------
Discover Credit Corp.
. 8.73% Med. Term Note, 8/15/96 500,000 501,930
- ------------------------------------
Dow Capital B V
. 9.0%, 5/15/10 3,000,000 3,344,700
- ------------------------------------
Duquesne II Funding Corp.
. 8.7%, 6/1/16 2,475,000 2,533,361
- ------------------------------------
Ford Motor Credit Co.
. 7.95% Med. Term Notes, 5/17/99 2,000,000 2,066,120
- ------------------------------------
General Electric Capital Corp.
. 7.875% Med. Term Note, 3/7/01 1,500,000 1,553,355
. 8.3%, 9/20/09 3,000,000 3,272,400
- ------------------------------------
General Motors Acceptance Corp.
. 8.88%, 6/1/10 1,500,000 1,651,395
- ------------------------------------
Household Finance Corp.
. 9.63% Senior Subordinated Note, 7/15/00 875,000 957,119
- ------------------------------------
International Lease Finance Co.
. 8.25%, 1/15/00 2,000,000 2,086,780
- ------------------------------------
National Rural Utilities Cooperative Finance Corp.
. 8.5%, 2/15/98 1,000,000 1,031,020
- ------------------------------------
Salomon Inc.
. 7.25%, 1/15/00 1,000,000 1,004,260
- ------------------------------------ ----------
24,177,724
FINANCIAL SERVICES: 0.2%
Finova Capital Corp.
. 6.12% Med. Term Note, 5/28/02 1,000,000 951,410
- ------------------------------------
Spiegel Charge Account Trust 2
. 6.95%, 12/17/01 500,000 504,130
- ------------------------------------ ----------
1,455,540
FOOD AND BEVERAGE: 0.1%
Nabisco Inc.
. 7.55%, 6/15/15 750,000 719,085
- ------------------------------------
FOREIGN GOVERNMENT: 0.7%
Hydro-Quebec
. 7.2% Med. Term Note, 10/5/09 3,000,000 3,215,730
- ------------------------------------
Manitoba (Province of)
. 7.75%, 7/17/16 1,500,000 1,554,210
- ------------------------------------ ----------
4,769,940
MACHINERY AND ENGINEERING: 0.3%
Deere & Co.
. 8.27%, 8/8/95 2,000,000 2,163,820
- ------------------------------------
METALS AND MINING: 1.2%
Cyprus Amax Minerals Co.
. 7.375%, 5/15/07 2,500,000 2,446,550
- ------------------------------------
Inco Ltd.
. 9.6% Debenture, 6/15/22 1,300,000 1,400,321
- ------------------------------------
Newmont Gold Co.
. 8.91%, 1/5/09 750,000 797,205
- ------------------------------------
Noranda Inc.
. 8.13%, 6/15/04 2,000,000 2,088,220
- ------------------------------------
Placer Dome Inc.
. 7.37% Med. Term Note, 6/3/26 1,000,000 1,003,380
- ------------------------------------ ----------
7,735,676
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 0.1%
Xerox Corp. - Euronote
. 8.375%, 9/25/96 500,000 501,085
- ------------------------------------
PAPER: 0.6%
Champion International Corp.
. 7.7%, 12/15/99 1,500,000 1,537,815
- ------------------------------------
Westvaco Corp.
. 8.3%, 8/1/22 2,500,000 2,519,600
- ------------------------------------ ----------
4,057,415
PETROLEUM AND PETROLEUM RELATED: 0.5%
Enron Corp.
. 9.5%, 6/15/01 1,000,000 1,100,840
- ------------------------------------
Noble Affiliates Inc.
. 7.25%, 10/15/23 600,000 541,068
- ------------------------------------
Petro Canada - Debentures
. 8.6%, 10/15/01 1,500,000 1,610,220
- ------------------------------------ ----------
3,252,128
PUBLIC UTILITIES: 3.5%
Baltimore Gas & Electric Co.
. 8.92% Med. Term Note, 7/16/98 1,000,000 1,045,100
- ------------------------------------
Central Maine Power Co.
. 6.5%, 7/22/97 1,500,000 1,494,780
- ------------------------------------
Commonwealth Edison Co.
. 9.375%, 2/15/00 500,000 534,835
- ------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Par Market
amount value
---------- ------------
<S> <C> <C>
Detroit Edison Co.
. 6.56%, 5/1/01 $ 2,000,000 $ 1,953,740
Great Lakes Power Inc.
. 9.0%, 8/1/04 1,500,000 1,612,665
Illinois Power Co.
. 5.85% 1st Mortgage Bonds, 10/1/96 625,000 625,000
Nevada Power Co.
. 7.06%, 5/1/00 1,500,000 1,497,900
Old Dominion Electric Co-op
. 7.48%, 12/1/13 1,500,000 1,487,580
Pacificorp
. 9.15% Med. Term Note, 8/9/11 1,500,000 1,722,780
Pennsylvania Power & Light
. 7.7%, 10/1/09 3,000,000 3,105,420
Public Service Co. of Colorado
. 6.375%, 11/1/05 1,500,000 1,393,035
Public Service Co. of Indiana Inc.
. 8.57% 1st Mortgage Bonds, 12/27/11 500,000 536,120
Texas Gas Transmission Corp.
. 8.63%, 4/4/04 2,000,000 2,154,580
Texas Utilities Electric Co.
. 7.375%, 8/1/01 1,500,000 1,523,985
Utilicorp United Inc.
. 10.5%, 12/1/20 1,000,000 1,140,290
Washington Water Power Co.
. 8.01%, 12/17/01 1,000,000 1,043,830
` ------------
22,871,640
RAILROADS: 0.3%
Burlington Northern Railroad
. 6.94%, 1/2/14 500,000 484,925
Chicago & Northwestern Holdings Corp.
. 6.25%, 7/30/12 1,457,297 1,349,777
------------
1,834,702
RETAIL: 0.5%
Dayton Hudson Corp.
. 10.0% Debenture, 1/1/11 500,000 610,130
Sears, Roebuck & Co.
. 9.05%, 2/6/12 2,500,000 2,830,125
------------
3,440,255
SECURITIES DEALERS: 0.6%
Lehman Brothers Holding Co.
. 8.875% Senior Note, 3/1/02 1,000,000 1,071,170
Smith Barney Holdings
. 7.88%, 10/1/99 3,000,000 3,096,720
------------
4,167,890
TELECOMMUNICATIONS: 1.4%
Bellsouth Telecommunications Corp. Euro
. 6.125%, 9/23/08 3,000,000 2,686,875
Cable And Wireless plc Euro
. 6.5% Senior Debenture, 12/16/03 1,500,000 1,414,688
GTE Hawaiian Telephone Co. Inc.
. 7.0% Senior Debenture, 2/1/06 2,000,000 1,935,120
NYNEX Capital Funding
. 7.63%, 10/15/09 3,000,000 3,137,190
------------
9,173,873
------------
TOTAL LONG-TERM DEBT INVESTMENTS: 37.5%
(Cost $240,406,707) 242,435,838
- ---------------------------------------
Number Market
COMMON STOCKS: of shares value
--------- -----------
AEROSPACE: 1.1%
McDonnell Douglas Corp. 89,200 $ 4,326,200
United Technologies Corp. 25,400 2,921,000
-----------
7,247,200
AIR TRANSPORTATION: 1.1%
America West Airlines Inc. Cl B * 31,100 684,200
AMR Corp. * 32,800 2,984,800
Continental Airlines Holdings Inc. * 9,400 580,450
Mesa Airlines Inc. * 44,000 522,500
Northwest Airlines Corp. * 59,200 2,338,400
-----------
7,110,350
BANKING AND INSURANCE: 6.7%
AllState Corp. 11,310 516,019
American Bankers Insurance Group Inc. 15,000 654,375
Bank of Boston Corp. 85,500 4,232,250
Bank of New York Inc. 69,400 3,556,750
BankAmerica Corp. 12,500 946,875
Chase Manhattan Corp. New 78,100 5,515,813
Cigna Corp. 39,400 4,644,275
Deposit Guaranty Corp. 11,700 514,800
First Chicago NBD Corp. 96,835 3,788,669
Healthcare Compare Corp. 34,300 1,672,125
Maic Holdings Inc. * 17,804 663,199
Marsh & McLennan Companies Inc. 34,900 3,367,850
Nations Bank Corp. 39,700 3,280,213
Onebancorp Inc. 18,900 618,975
Peoples Heritage Financial Group Inc. 25,700 523,638
Provident Bancorp 15,750 555,188
Transamerica Corp. 30,200 2,446,200
Travelers Inc. 129,450 5,906,156
----------
43,403,368
BROADCASTING: 0.3%
King World Productions Inc. * 56,700 2,062,463
BUILDING MATERIALS: 0.6%
Dover Corp. 80,100 3,694,613
BUILDING AND CONSTRUCTION: 0.1%
Kaufman & Broad Home Corp. 21,000 304,500
U.S. Home Corp. * 22,300 549,138
----------
853,638
CHEMICALS: 1.4%
Bio Rad Laboratories Inc. * 16,500 591,938
Dow Chemical Co. 59,400 4,514,400
Eastman Chemical Co. 9,100 553,963
Immunex Corp. * 9,200 125,350
International Specialty Products * 44,400 488,400
Learonal Inc. 21,300 532,500
Olin Corp. 20,100 1,793,925
Somatogen Inc. * 40,300 569,238
----------
9,169,713
COAL AND GAS: 0.2%
Louis Dreyfus Natural Gas Corp. * 41,300 619,500
Zeigler Coal Holding Co. 38,200 611,200
----------
1,230,700
CONSUMER PRODUCTS AND SERVICES: 3.6%
American Brands Inc. 17,800 807,675
Black & Decker Corp. 26,300 1,015,838
Gibson Greetings Inc. * 35,800 492,250
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- ---------
<S> <C> <C>
Johnson & Johnson 73,400 $3,633,300
Nash Finch Co. 35,100 561,600
Omnicom Group Inc. 18,000 837,000
Philip Morris Co. Inc. 89,000 9,256,000
Procter & Gamble Co. 69,400 6,289,375
Russ Berrie & Co. Inc. 30,300 556,763
----------
23,449,800
DRUG AND HOSPITAL SUPPLIES: 5.1%
Abbott Laboratories 75,000 3,262,500
Adac Laboratories 26,400 600,600
Baxter International Inc. 101,800 4,810,050
Bristol Myers Squibb Co. 71,800 6,462,000
Dura Pharmaceuticals Inc. * 12,500 700,000
Lilly (Eli) & Co. 62,400 4,056,000
Medtronic Inc. 24,000 1,344,000
Merck & Co. Inc. 61,600 3,980,900
Omnicare Inc. 19,600 519,400
Schering-Plough Corp. 94,000 5,898,500
Sybron International Corp. * 24,000 600,000
Target Therapeutics Inc. * 12,700 520,700
Watson Pharmaceuticals Inc. * 12,000 454,500
----------
33,209,150
ELECTRICAL AND ELECTRONICS: 4.4%
Alliant Computer Systems Corp. * 12,700 598,488
Applied Materials Inc. * 109,300 3,333,650
Fusion Systems Corp. * 19,700 487,575
General Electric Co. 101,900 8,814,350
Harris Corp. 44,600 2,720,600
Helix Technology Corp. 16,100 623,875
International Rectifier Corp. * 135,400 2,183,325
KLA Instruments Corp. * 83,500 1,941,375
Komag Inc. * 162,700 4,291,213
LTX Corp. * 59,800 373,750
MEMC Electrical Materials Inc. * 13,300 515,375
Rexel Inc. * 43,600 615,850
Sierra Semi Conductor Corp. * 48,800 567,300
Silicon Valley Group Inc. * 38,500 721,875
Wyle Electronics 15,000 496,875
----------
28,285,475
ENTERTAINMENT: 1.2%
Brunswick Corp. 16,200 324,000
Callaway Golf Co. 86,200 2,866,150
Grand Casinos Inc. * 19,900 512,425
Mirage Resorts Inc. * 80,800 4,363,200
----------
8,065,775
FINANCE: 0.1%
One Valley Bancorp West Virginia Inc. 17,700 610,650
FINANCIAL SERVICES: 0.6%
Olympic Financial Ltd. * 26,100 600,300
Student Loan Marketing Association 41,300 3,056,200
----------
3,656,500
FOOD AND BEVERAGE: 4.1%
Campbell Soup Co. 23,800 1,677,900
Coca Cola Co. 81,200 3,968,650
ConAgra Inc. 84,800 3,847,800
CPC International Inc. 23,000 1,656,000
Heinz H.J. Co. 94,150 2,859,806
Hudson Foods Inc. 28,000 392,000
IBP Inc. 107,600 2,972,450
RJR Nabisco Holding Corp. 111,580 3,458,980
Robert Mondavi Corp. * 18,100 570,150
Safeway Inc. * 119,000 3,927,000
Smithfield Foods Inc. * 22,100 558,025
WLR Foods Inc. 27,300 382,200
----------
26,270,961
HEALTH AND PERSONAL CARE: 0.1%
Herbalife International 37,300 550,175
HOSPITAL AND HEALTH CARE: 0.1%
Universal Health Services Inc. * 22,000 574,750
INDUSTRIAL: 0.1%
Gencorp Inc. 39,800 601,975
MACHINERY AND ENGINEERING: 0.8%
Butler Manufacturing Co. 16,700 563,625
Energy Ventures Inc. * 18,100 588,250
Graco Inc. 25,650 519,413
Imo Industries Inc. * 81,000 465,750
Novellus Systems Inc. * 74,200 2,671,200
Valmont Industries 17,700 601,800
----------
5,410,038
METALS AND MINING: 1.2%
ASARCO Inc. 66,200 1,828,775
Chaparral Steel Co. 38,100 500,063
Cyprus Amax Minerals Co. 15,600 352,950
Intermet Corp. * 38,000 529,606
Phelps Dodge Corp. 50,000 3,118,750
Texas Industries Inc. 9,300 638,213
Tredegar Industries Inc. 17,800 538,450
----------
7,506,806
MISCELLANEOUS: 0.2%
Anthony Industries Inc. 19,700 534,363
Ultratech Stepper Inc. * 28,800 540,000
----------
1,074,363
MOTOR VEHICLES AND EQUIPMENT: 1.8%
Champion Enterprises Inc. * 22,600 471,775
Chrysler Corp. 93,300 5,784,600
Dana Corp. 53,800 1,667,800
Ford Motor Co. 18,700 605,413
Goodrich BF Co. 53,000 1,980,875
Simpson Industries Inc. 51,800 479,150
Wynns International Inc. 22,650 639,863
----------
11,629,475
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 4.6%
Adaptec Inc. * 54,200 2,567,725
Boole & Babbage Inc. * 22,600 542,400
Cabletron Systems Inc. * 48,200 3,307,725
Cadence Design Systems Inc. * 69,225 2,336,344
CDW Computer Centers Inc. * 9,300 646,350
Cisco Systems Inc. * 55,200 3,125,700
Computer Associates International Inc. 18,150 1,293,188
Computervision Corp. * 53,700 537,000
Gateway 2000 Inc. * 15,400 523,600
Global Village Communication * 29,400 242,550
Health Management Systems Inc. * 18,900 600,075
Honeywell Inc. 13,800 752,100
Hunt Manufacturing 29,500 438,813
In Focus Systems Inc. * 17,600 426,800
Kronos Inc. * 19,450 690,475
Medic Computer Systems Inc. * 6,700 543,538
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
--------- -----------
<S> <C> <C>
Moore Corp. Ltd. 16,600 $ 313,325
- ------------------------------------------
Pitney Bowes Inc. 73,000 3,485,750
- ------------------------------------------
Project Software & Development Inc. * 12,700 595,313
- ------------------------------------------
Reynolds & Reynolds Co. 21,800 1,160,850
- ------------------------------------------
Robert Half International Inc. * 21,600 602,100
- ------------------------------------------
Sun Microsystems Inc. * 75,700 4,456,838
- ------------------------------------------
U.S. Robotics Corp. * 9,600 820,800
- ------------------------------------------ -----------
30,009,356
PAPER: 1.1%
Avery Dennison Corp. 71,500 3,923,563
- ------------------------------------------
Bowater Inc. 35,000 1,316,875
- ------------------------------------------
Republic Group 40,900 582,825
- ------------------------------------------
Stone Container Corp. 85,400 1,174,250
- ------------------------------------------ -----------
6,997,513
PETROLEUM AND PETROLEUM RELATED: 5.7%
Amoco Corp. 62,500 4,523,438
- ------------------------------------------
Atlantic Richfield Co. 13,600 1,611,600
- ------------------------------------------
Exxon Corp. 88,900 7,723,188
- ------------------------------------------
Halliburton Co. 38,800 2,153,400
- ------------------------------------------
Mesa Inc. * 130,600 718,300
- ------------------------------------------
Mitchell Energy & Development Corp. 34,500 655,500
- ------------------------------------------
Mobil Corp. 57,300 6,424,763
- ------------------------------------------
Nabors Industries Inc. * 41,400 672,750
- ------------------------------------------
Occidental Petroleum Corp. 132,500 3,279,375
- ------------------------------------------
Royal Dutch Petroleum Co. 19,000 2,921,250
- ------------------------------------------
Seagull Energy Corp. * 40,000 1,000,000
- ------------------------------------------
Texaco Inc. 23,400 1,962,675
- ------------------------------------------
Valero Energy Corp. 22,000 550,000
- ------------------------------------------
Williams Companies Inc. 37,500 1,856,250
- ------------------------------------------
Yankee Energy System Inc. 24,400 530,700
- ------------------------------------------ -----------
36,583,188
PLASTICS: 0.3%
Foamex International Inc. * 43,200 529,200
- ------------------------------------------
LCI International Inc. * 21,000 658,875
- ------------------------------------------
Safeskin Corp. * 15,200 630,800
- ------------------------------------------ -----------
1,818,875
PRINTING AND PUBLISHING: 0.5%
- ------------------------------------------
American Business Products Inc. 29,000 634,375
- ------------------------------------------
Bowne & Co. Inc. 29,100 600,188
- ------------------------------------------
New York Times Co. 36,300 1,184,288
- ------------------------------------------
Pulitzer Publishing Co. 9,800 580,650
- ------------------------------------------ -----------
2,999,500
PUBLIC UTILITIES: 2.5%
Black Hills Corp. 19,900 495,013
- ------------------------------------------
Consolidated Edison Co. 102,800 3,006,900
- ------------------------------------------
Edison International 142,100 2,504,513
- ------------------------------------------
General Public Utilities Corp. 40,200 1,417,050
- ------------------------------------------
Green Mountain Power Corp. 20,300 492,275
- ------------------------------------------
Laclede Gas Co. 24,200 541,475
- ------------------------------------------
Northwestern Public Service Co. 21,300 572,438
- ------------------------------------------
Ohio Edison Co. 24,200 529,375
- ------------------------------------------
Southern California Water Co. 28,900 635,800
- ------------------------------------------
Texas Utilities Co. 60,500 2,586,375
- ------------------------------------------
TNP Enterprises Inc. 23,900 678,163
- ------------------------------------------
Unicom Corp. 86,400 2,408,400
- ------------------------------------------ -----------
15,867,775
RESTAURANT: 0.1%
CKE Restaurants Inc. 24,600 627,300
- ------------------------------------------
RETAIL: 2.9%
- ------------------------------------------
Carson Pirie Scott & Co. * 22,600 $ 604,550
- ------------------------------------------
Claire's Stores Inc. 21,700 599,463
- ------------------------------------------
CompUSA Inc. * 16,300 556,238
- ------------------------------------------
Eckerd Corp. * 43,800 990,975
- ------------------------------------------
Fabri Centers of America * 44,000 726,000
- ------------------------------------------
Fileness Basement Corp. * 27,800 135,525
- ------------------------------------------
Jostens Inc. 129,500 2,557,625
- ------------------------------------------
National Media Corp. * 31,100 548,138
- ------------------------------------------
Pier 1 Imports Inc. 60,000 892,500
- ------------------------------------------
Sears, Roebuck & Co. 52,900 2,572,263
- ------------------------------------------
Staples Inc. * 190,200 3,708,900
- ------------------------------------------
The Gap Inc. 98,600 3,167,525
- ------------------------------------------
Waban Inc. * 51,200 1,222,400
- ------------------------------------------
Zale Corp. * 28,800 486,000
- ------------------------------------------ -----------
18,768,100
SECURITIES DEALERS: 0.9%
Bear, Stearns & Co. Inc. 125,685 2,969,308
- ------------------------------------------
Morgan Stanley Group Inc. 25,400 1,247,775
- ------------------------------------------
PaineWebber Group Inc. 64,800 1,539,000
- ------------------------------------------ -----------
5,756,083
SHOES: 0.6%
Nike Inc. 37,800 3,883,950
- ------------------------------------------
SOAPS, CLEANER AND COSMETICS: 0.4%
Clorox Co. 31,400 2,782,825
- ------------------------------------------
TELECOMMUNICATIONS: 4.6%
American Telephone & Telegraph Co. 56,100 3,478,200
- ------------------------------------------
Ameritech Corp. 89,800 5,331,875
- ------------------------------------------
Bellsouth Corp. 99,000 4,195,125
- ------------------------------------------
C Cube Microsystems Inc. * 18,300 603,900
- ------------------------------------------
Cincinnati Bell Inc. 71,800 3,742,575
- ------------------------------------------
Comnet Cellular Inc. * 16,500 495,000
- ------------------------------------------
DSP Communications Inc. * 13,300 683,288
- ------------------------------------------
GTE Corp. 73,300 3,280,175
- ------------------------------------------
Nynex Corp. 63,300 3,006,750
- ------------------------------------------
Pacific Telesis Group 139,300 4,701,375
- ------------------------------------------ -----------
29,518,263
TEXTILES-APPAREL MANUFACTURING: 0.1%
Nautica Enterprises Inc. * 24,000 690,000
- ------------------------------------------
TRANSPORTATION: 0.2%
PHH Corp. 21,300 1,214,100
- ------------------------------------------
WASTE MANAGEMENT: 0.1%
United Waste System Inc. * 22,400 722,400
- ------------------------------------------ -----------
TOTAL COMMON STOCKS: 59.4%
(Cost $567,709,917) 383,907,163
- ------------------------------------------
Par
MONEY MARKET INSTRUMENTS: amount
------------
Suntrust Banks Inc.
* 5.74%, 7/1/96 $12,000,000 11,994,420
- ------------------------------------------
Merrill Lynch
* 5.499%, 7/1/96 2,700,000 2,697,191
- ------------------------------------------
United States Treasury Notes
* 6.5%, 9/30/96 13,000,000 13,040,560
- ------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Market
value
------------
<S> <C> <C>
TOTAL MONEY MARKET INSTRUMENTS: 4.3%
(Cost $27,768,799) $ 27,732,171
- --------------------------------------------- ------------
TOTAL INVESTMENTS: 101.1%
(Cost $567,709,917) 654,075,172
- ---------------------------------------------
Other assets under liabilities: (1.1)% (7,276,871)
- --------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $15.420 per share based on
41,945,871 shares issued and outstanding) $646,798,301
- --------------------------------------------- ============
MONEY MARKET FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Par Market
MONEY MARKET INSTRUMENTS: amount value
----------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS: 22.5%
Federal Home Loan Bank
.5.61%, 9/20/96 $ 7,000,000 $ 6,998,181
- ---------------------------------------------
Federal Home Loan Mortgage Corp.
.7.699%, 12/15/96 1,500,000 1,514,814
- ---------------------------------------------
FNMA
.7.07%, 11/18/96 1,400,000 1,408,133
.5.05%, 3/14/97 2,000,000 1,992,702
- ---------------------------------------------
U.S. Treasury Bill
.5.063%, 2/6/97 5,000,000 4,765,938
.5.395%, 3/6/97 3,000,000 2,846,550
- --------------------------------------------- -----------
19,526,318
BANKING AND INSURANCE: 14.5%
Comercial Bank Detroit Michigan
.5.293%, 2/14/97 3,500,000 3,500,000
- ---------------------------------------------
First Bank N.A. Floater
.5.451%, 3/7/97 4,000,000 4,000,000
- ---------------------------------------------
Metlife Funding Inc
.5.468%, 8/5/96 1,500,000 1,486,750
- ---------------------------------------------
PNC Banking Corp.
.5.233%, 2/20/97 3,600,000 3,598,870
- --------------------------------------------- ------------
12,585,620
BUILDING MATERIALS: 4.6%
Vermont American Corp
.5.27%, 7/11/96 4,000,000 3,974,236
- ---------------------------------------------
CHEMICALS: 4.6%
Monsanto Company
.5.3%, 8/1/96 4,000,000 3,967,022
- ---------------------------------------------
FARM SUPPLIES: 3.4%
Cargill Incorporated
.5.33%, 7/16/96 3,000,000 2,991,561
- ---------------------------------------------
FINANCE: 4.0%
G.E. Capital Corp
.5.38%, 8/8/96 3,500,000 3,476,986
- ---------------------------------------------
FINANCIAL SERVICES: 17.5%
American Express Centurian Bank
.5.814%, 11/29/96 3,800,000 3,799,731
- ---------------------------------------------
Bell Atlantic Financial Services
.5.31%, 7/1/96 4,200,000 4,183,893
- ---------------------------------------------
Caterpillar Financial Services Corp.
.6.117% Medium Term Note, 7/25/96 4,000,000 4,000,000
- ---------------------------------------------
Unilever Capital Corp.
.5.35%, 7/25/96 3,200,000 3,183,356
- --------------------------------------------- ------------
15,166,979
FOOD AND BEVERAGE: 3.2%
Philip Morris
.5.464%, 7/19/96 799,000 792,883
.5.541%, 7/29/96 2,000,000 1,990,734
- --------------------------------------------- ------------
2,783,618
FOREST PRODUCTS: 4.6%
Weyerhaeuser Co
.5.463%, 7/24/96 4,000,000 3,955,329
- ---------------------------------------------
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 1.6%
International Lease Finance
.5.32%, 7/11/96 1,400,000 1,393,793
- ---------------------------------------------
PAPER: 4.6%
Temple-Inland Inc
.5.32%, 7/8/96 4,000,000 3,981,084
- ---------------------------------------------
RETAIL: 1.1%
Walmart Stores Inc
.5.26%, 7/1/96 1,000,000 996,493
- ---------------------------------------------
SECURITIES DEALERS: 6.4%
Merrill Lynch
.5.4%, 7/8/96 2,600,000 2,594,540
- ---------------------------------------------
Smith Barney
.5.33%, 7/10/96 3,000,000 2,986,675
- --------------------------------------------- -----------
5,581,215
SOAPS, CLEANER AND COSMETICS: 4.5%
Colgate Palmolive Co
.5.32%, 7/22/96 4,000,000 3,942,071
- ---------------------------------------------
TRANSPORTATION: 4.6%
PHH Corp.
.5.84% Medium Term Floater, 8/21/96 4,000,000 3,999,774
- --------------------------------------------- -----------
TOTAL MONEY MARKET INSTRUMENTS: 101.8%
(Cost $88,322,099) 88,322,099
- --------------------------------------------- -----------
TOTAL INVESTMENTS: 101.8%
(Cost $88,322,099) 88,322,099
- ---------------------------------------------
Other assets under liabilities: (1.8)% (1,520,403)
- --------------------------------------------- -----------
NET ASSETS: 100.0%
(equivalent to $10.000 per share based on
8,680,170 shares issued and outstanding) $86,801,696
- --------------------------------------------- =============
</TABLE>
<PAGE>
SOCIAL AWARENESS FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
<TABLE>
Number Market
COMMON STOCKS: of shares value
----------- ------------
<S> <C> <C>
AIR TRANSPORTATION: 1.3%
AMR Corp. * 37,300 $ 3,394,300
- ------------------------------------------------
Northwest Airlines Corp. * 53,300 2,105,350
- ------------------------------------------------ ------------
5,499,650
BANKING AND INSURANCE: 20.6%
AllState Corp. 120,634 5,503,926
- ------------------------------------------------
Bank of Boston Corp. 119,700 5,925,150
- ------------------------------------------------
Bank of New York Inc. 88,600 4,535,710
- ------------------------------------------------
BankAmerica Corp. 106,200 8,044,650
- ------------------------------------------------
Chase Manhattan Corp. New 140,600 9,929,875
- ------------------------------------------------
Cigna Corp. 54,000 6,365,250
- ------------------------------------------------
City National Corp. 329,500 5,189,625
- ------------------------------------------------
First Chicago NBD Corp. 107,311 4,198,543
- ------------------------------------------------
First Union Corp. 62,100 3,780,338
- ------------------------------------------------
Healthcare Compare Corp. 101,600 4,953,000
- ------------------------------------------------
Marsh & McLennan Companies Inc. 52,900 5,104,850
- ------------------------------------------------
Mercury General Corp. 64,600 2,826,250
- ------------------------------------------------
Mid Ocean Ltd. 122,200 5,010,200
- ------------------------------------------------
Nations Bank Corp. 87,000 7,188,375
- ------------------------------------------------
Old Republic International Corp. 70,650 1,518,975
- ------------------------------------------------
SunAmerica Inc. 85,300 4,819,450
- ------------------------------------------------
Transamerica Corp. 47,600 3,855,600
- ------------------------------------------------ ------------
88,749,767
BROADCASTING: 0.8%
King World Productions Inc. * 95,300 3,466,538
- ------------------------------------------------
BUILDING MATERIALS: 1.5%
Dover Corp. 56,500 2,606,063
- ------------------------------------------------
Owens Corning Corp. 89,300 3,839,900
- ------------------------------------------------ ------------
6,445,963
BUILDING AND CONSTRUCTION: 0.1%
Kaufman & Broad Home Corp. 23,800 345,100
- ------------------------------------------------
COAL AND GAS: 1.1%
Union Planters Corp. 157,000 4,768,875
- ------------------------------------------------
CONSUMER PRODUCTS AND SERVICES: 6.4%
Johnson & Johnson 229,300 11,350,350
- ------------------------------------------------
Omnicom Group Inc. 101,000 4,696,500
- ------------------------------------------------
Procter & Gamble Co. 125,500 11,373,438
- ------------------------------------------------ ------------
27,420,288
DRUG AND HOSPITAL SUPPLIES: 3.9%
Amgen Inc. * 89,400 4,827,600
- ------------------------------------------------
Baxter International Inc. 108,500 5,126,625
- ------------------------------------------------
Medtronic Inc. 120,600 6,753,600
- ------------------------------------------------ ------------
16,707,825
ELECTRICAL AND ELECTRONICS: 1.8%
Analog Devices Inc. * 90,200 2,300,100
- ------------------------------------------------
Applied Materials Inc. * 90,200 2,751,100
- ------------------------------------------------
Komag Inc. * 33,400 880,925
- ------------------------------------------------
Silicon Valley Group Inc. * 90,500 1,696,875
- ------------------------------------------------ ------------
7,629,000
ENTERTAINMENT: 1.1%
Callaway Golf Co. 145,000 4,821,250
- ------------------------------------------------
FINANCIAL SERVICES: 1.1%
Student Loan Marketing Association 61,300 4,536,200
- ------------------------------------------------
FOOD AND BEVERAGE: 12.5%
Campbell Soup Co. 90,100 6,352,050
- ------------------------------------------------
Coca Cola Co. 268,000 13,098,500
- ------------------------------------------------
Flowers Industries Inc. 201,300 3,245,963
- ------------------------------------------------
Great Atlantic & Pacific Tea Inc. 116,300 3,823,363
- ------------------------------------------------
Hershey Foods Corp. 79,800 5,855,325
- ------------------------------------------------
Hormel Foods Corp. 80,400 2,150,700
- ------------------------------------------------
International Multifoods Corp. 74,000 1,350,500
- ------------------------------------------------
Pepsico Inc. 182,300 6,448,863
- ------------------------------------------------
Safeway Inc. * 147,500 4,867,500
- ------------------------------------------------
Universal Foods Corp. 34,500 1,272,188
- ------------------------------------------------
Von Companies Inc. 144,800 5,411,900
- ------------------------------------------------ ------------
53,876,850
HOSPITAL AND HEALTH CARE: 0.4%
Oxford Health Plans Inc. * 39,500 1,624,438
- ------------------------------------------------
MACHINERY AND ENGINEERING: 0.6%
Novellus Systems Inc. * 75,800 2,728,800
- ------------------------------------------------
METALS AND MINING: 0.6%
Cleveland-Cliffs Inc. 62,900 2,460,963
- ------------------------------------------------
MISCELLANEOUS: 0.8%
Sealed Air Corp. * 99,000 3,328,875
- ------------------------------------------------
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 8.5%
Cabletron Systems Inc. * 46,500 3,191,063
- ------------------------------------------------
Cadence Design Systems Inc. * 131,300 4,431,375
- ------------------------------------------------
Cisco Systems Inc. * 83,000 4,699,875
- ------------------------------------------------
Computer Associates International Inc. 64,600 4,602,750
- ------------------------------------------------
Parametric Technology Corp. * 98,300 4,263,763
- ------------------------------------------------
Pitney Bowes Inc. 95,200 4,545,800
- ------------------------------------------------
Reynolds & Reynolds Co. 84,600 4,504,950
- ------------------------------------------------
Sun Microsystems Inc. * 107,900 6,352,613
- ------------------------------------------------ ------------
36,592,188
PAPER: 0.4%
Avery Dennison Corp. 33,500 1,838,313
- ------------------------------------------------
PETROLEUM AND PETROLEUM RELATED: 1.8%
Oryx Energy Co. * 279,200 4,537,000
- ------------------------------------------------
Reading & Bates Corp. * 152,500 3,374,063
- ------------------------------------------------ ------------
7,911,063
PRINTING AND PUBLISHING: 1.5%
Ennis Business Forms Inc. 176,800 2,011,100
- ------------------------------------------------
Harcourt General Inc. 26,000 1,300,000
- ------------------------------------------------
New York Times Co. 90,100 2,939,513
- ------------------------------------------------ ------------
6,250,613
PUBLIC UTILITIES: 0.6%
Portland General 90,200 2,784,925
- ------------------------------------------------
RESTAURANT: 0.8%
- ------------------------------------------------
Buffets Inc. * 289,200 3,542,700
- ------------------------------------------------
RETAIL: 7.0%
Eckerd Corp. * 170,200 3,850,775
- ------------------------------------------------
Jostens Inc. 83,300 1,645,175
- ------------------------------------------------
Mercantile Stores Co. Inc. 72,400 4,244,450
- ------------------------------------------------
Ross Stores Inc. 131,700 4,576,575
- ------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
---------- ------------
<S> <C> <C>
Staples Inc. * 192,600 $ 3,755,700
- ---------------------------------------------
The Gap Inc. 163,800 5,262,075
- ---------------------------------------------
Tiffany & Co. 63,300 4,620,900
- ---------------------------------------------
Waban Inc. * 64,200 1,532,775
- ---------------------------------------------
Wal-Mart Stores 27,800 705,425
- --------------------------------------------- ------------
30,193,850
SECURITIES DEALERS: 4.0%
Bear, Stearns & Co. Inc. 174,090 4,112,876
- ---------------------------------------------
Edwards (A G) Inc. 143,500 3,892,438
- ---------------------------------------------
Morgan Stanley Group Inc. 84,600 4,155,975
- ---------------------------------------------
PaineWebber Group Inc. 217,700 5,170,375
- --------------------------------------------- ------------
17,331,664
SHOES: 1.2%
Nike Inc. 50,400 5,178,600
- ---------------------------------------------
SOAPS, CLEANER AND COSMETICS: 2.3%
Clorox Co. 57,900 5,131,388
- ---------------------------------------------
Gillette Co. 40,000 2,495,000
- ---------------------------------------------
International Flavors & Fragrances Inc. 44,700 2,128,838
- --------------------------------------------- ------------
9,755,225
TELECOMMUNICATIONS: 9.0%
Ameritech Corp. 126,600 7,516,875
- ---------------------------------------------
Bell Atlantic Corp. 143,700 9,160,875
---------------------------------------------
Cincinnati Bell Inc. 95,700 4,988,363
- ---------------------------------------------
Nynex Corp. 66,800 3,173,000
- ---------------------------------------------
Pacific Telesis Group 149,200 5,035,500
- ---------------------------------------------
SBC Communications Inc. 85,000 4,186,250
- ---------------------------------------------
Southern New England Telecomm 107,700 4,523,400
- --------------------------------------------- ------------
38,584,263
TEXTILES-APPAREL MANUFACTURING: 0.5%
Jones Apparel Group Inc. * 47,200 2,318,700
- ---------------------------------------------
TRANSPORTATION: 0.3%
Paccar Inc. 25,600 1,254,400
- --------------------------------------------- ------------
TOTAL COMMON STOCKS: 92.5%
(Cost $310,316,054) 397,946,880
- ---------------------------------------------
Par
MONEY MARKET INSTRUMENTS: amount
------------
Commercial Credit Co.
. 5.37%, 7/15/96 $ 6,400,000 6,380,907
- ---------------------------------------------
Merrill Lynch
. 5.524%, 7/8/96 6,000,000 5,983,890
. 5.521%, 7/10/96 5,600,000 5,586,560
- ---------------------------------------------
Pepsico
. 5.36%, 7/16/96 8,000,000 7,978,560
- ---------------------------------------------
Smith Barney
. 5.34%, 7/2/96 7,700,000 7,677,157
- ---------------------------------------------
United States Treas Bill
. 5.36%, 5/1/97 1,000,000 946,256
- --------------------------------------------- ------------
TOTAL MONEY MARKET INSTRUMENTS: 8.0%
(Cost $34,553,329) 34,553,329
- --------------------------------------------- ------------
TOTAL INVESTMENTS: 100.5%
(Cost $344,869,383) 432,500,209
- ---------------------------------------------
Other assets under liabilities: (0.5)% (2,351,998)
- --------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $23.956 per share based on
17,955,829 shares issued and outstanding) $430,148,211
- --------------------------------------------- ============
SPECIAL OPPORTUNITIES FUND
STATEMENT OF NET ASSETS - UNAUDITED
June 30, 1996
INVESTMENTS:
Number Market
COMMON STOCKS: of shares value
----------- ------------
AEROSPACE: 2.0%
McDonnell Douglas Corp. 120,800 $ 5,858,800
- ---------------------------------------------
United Technologies Corp. 50,800 5,842,000
- --------------------------------------------- ------------
11,700,800
AIR TRANSPORTATION: 1.9%
AMR Corp. * 61,600 5,605,600
- ---------------------------------------------
Northwest Airlines Corp. * 136,000 5,372,000
- --------------------------------------------- ------------
10,977,600
BANKING AND INSURANCE: 12.2%
Bank of Boston Corp. 119,800 5,930,100
- ---------------------------------------------
Chase Manhattan Corp. New 84,900 5,996,063
- ---------------------------------------------
Cigna Corp. 53,100 6,259,163
- ---------------------------------------------
First Chicago NBD Corp. 141,494 5,535,953
- ---------------------------------------------
Healthcare Compare Corp. 124,000 6,045,000
- ---------------------------------------------
Marsh & McLennan Companies Inc. 59,000 5,693,500
- ---------------------------------------------
Mercury General Corp. 126,300 5,525,625
- ---------------------------------------------
Mid Ocean Ltd. 139,200 5,707,200
- ---------------------------------------------
Nations Bank Corp. 71,100 5,874,638
- ---------------------------------------------
Star Banc Corp. 80,000 5,390,000
- ---------------------------------------------
Transamerica Corp. 70,400 5,702,400
- ---------------------------------------------
Travelers Inc. 139,350 6,357,844
- --------------------------------------------- ------------
70,017,484
BUILDING MATERIALS: 1.0%
Dover Corp. 127,500 5,880,938
- ---------------------------------------------
CHEMICALS: 1.9%
Eastman Chemical Co. 88,700 5,399,613
- ---------------------------------------------
Union Carbide Corp. 133,000 5,286,750
- --------------------------------------------- ------------
10,686,363
CONSUMER PRODUCTS AND SERVICES: 4.0%
American Brands Inc. 127,200 5,771,700
- ---------------------------------------------
Leggett & Platt Inc. 214,900 5,963,475
- ---------------------------------------------
The Stanley Works 200,800 5,973,800
- ---------------------------------------------
Universal Corp. 202,500 5,366,250
- --------------------------------------------- ------------
23,075,225
DRUG AND HOSPITAL SUPPLIES: 4.0%
Baxter International Inc. 118,700 5,608,575
- ---------------------------------------------
Becton, Dickinson & Co. 72,400 5,810,100
- ---------------------------------------------
Medtronic Inc. 101,400 5,678,400
- ---------------------------------------------
Pharmacia & Upjohn Inc. 137,090 6,083,369
- --------------------------------------------- ------------
23,180,444
ELECTRICAL AND ELECTRONICS: 6.0%
Applied Materials Inc. * 135,900 4,144,950
- ---------------------------------------------
Atmel Corp. * 190,000 5,723,750
- ---------------------------------------------
EG&G Inc. 276,400 5,908,050
- ---------------------------------------------
KLA Instruments Corp. 183,200 4,259,400
- ---------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
----------- ------------
<S> <C> <C>
Komag Inc. * 224,600 $ 5,923,825
- --------------------------------------------------
Lam Research Corp. * 130,600 3,395,600
- --------------------------------------------------
Silicon Valley Group Inc. * 268,500 5,034,375
- -------------------------------------------------- ------------
34,389,950
ENTERTAINMENT: 2.9%
Callaway Golf Co. 168,600 5,605,950
- --------------------------------------------------
MGM Grand Inc. * 133,700 5,331,288
- --------------------------------------------------
Mirage Resorts Inc. * 107,200 5,788,800
- -------------------------------------------------- ------------
16,726,038
FINANCIAL SERVICES: 1.0%
Student Loan Marketing Association 78,700 5,823,800
- --------------------------------------------------
FOOD AND BEVERAGE: 4.5%
Great Atlantic & Pacific Tea Inc. 162,500 5,342,188
- --------------------------------------------------
Heinz H.J. Co. 170,900 5,191,088
- --------------------------------------------------
IBP Inc. 205,800 5,685,225
- --------------------------------------------------
International Multifoods Corp. 224,000 4,088,000
- --------------------------------------------------
Von Companies Inc. * 151,900 5,677,263
- -------------------------------------------------- ------------
25,983,763
INDUSTRIAL: 1.0%
Measurex Corp. 200,400 5,861,700
- --------------------------------------------------
MACHINERY AND ENGINEERING: 1.4%
Carpenter Technology Corp. 154,900 4,956,800
- --------------------------------------------------
Novellus Systems Inc. * 92,100 3,315,600
- -------------------------------------------------- ------------
8,272,400
METALS AND MINING: 5.7%
ASARCO Inc. 205,500 5,676,938
- --------------------------------------------------
Ball Corp. 195,500 5,620,625
- --------------------------------------------------
Cleveland-Cliffs Inc. 139,700 5,465,763
- --------------------------------------------------
Hecla Mining Co. * 727,100 5,089,700
- --------------------------------------------------
Phelps Dodge Corp. 76,400 4,765,450
- --------------------------------------------------
Snap On Inc. 123,800 5,865,025
- -------------------------------------------------- ------------
32,483,500
MOTOR VEHICLES AND EQUIPMENT: 2.9%
Dana Corp. 168,000 5,208,000
- --------------------------------------------------
Fleetwood Enterprises Inc. 192,000 5,952,000
- --------------------------------------------------
Goodrich BF Co. 145,000 5,419,375
- -------------------------------------------------- ------------
16,579,375
OFFICE AND BUSINESS EQUIPMENT AND SERVICES: 9.0%
Cabletron Systems Inc. * 82,900 5,689,013
- --------------------------------------------------
Cadence Design Systems Inc. * 168,475 5,686,031
- --------------------------------------------------
Honeywell Inc. 104,200 5,678,900
- --------------------------------------------------
Moore Corp. Ltd. 285,200 5,383,150
- --------------------------------------------------
New England Business Services Inc. 324,400 6,325,800
- --------------------------------------------------
Reynolds & Reynolds Co. 109,000 5,804,250
- --------------------------------------------------
Sun Microsystems Inc. * 93,200 5,487,150
- --------------------------------------------------
U.S. Robotics Corp. * 68,000 5,814,000
- --------------------------------------------------
Western Digital Corp. * 228,200 5,961,725
- -------------------------------------------------- ------------
51,830,019
PAPER: 3.5%
Avery Dennison Corp. 105,800 5,805,775
- --------------------------------------------------
Boise Cascade Corp. 129,500 4,742,938
- --------------------------------------------------
Chesapeake Corp. 127,900 3,357,375
- --------------------------------------------------
Stone Container Corp. 216,500 2,976,875
- --------------------------------------------------
Westvaco Corp. 102,850 3,072,644
- -------------------------------------------------- ------------
19,955,606
PETROLEUM AND PETROLEUM RELATED: 5.9%
Occidental Petroleum Corp. 214,300 5,303,925
- --------------------------------------------------
Phillips Petroleum Co. 141,400 5,921,125
- --------------------------------------------------
Smith International Inc. * 186,900 5,630,363
- --------------------------------------------------
Union Texas Petroleum 304,900 5,945,550
- --------------------------------------------------
USX Marathon Group Inc. 274,500 5,524,313
- --------------------------------------------------
Williams Companies Inc. 115,000 5,692,500
- -------------------------------------------------- ------------
34,017,775
PRINTING AND PUBLISHING: 1.8%
Banta Corp. 188,250 4,753,313
- --------------------------------------------------
New York Times Co. 167,800 5,474,475
- -------------------------------------------------- ------------
10,227,788
PUBLIC UTILITIES: 9.0%
Baltimore Gas & Electric Co. 201,700 5,723,238
- --------------------------------------------------
Edison International 260,400 4,589,550
- --------------------------------------------------
General Public Utilities Corp. 171,300 6,038,325
- --------------------------------------------------
Portland General 193,900 5,986,663
- --------------------------------------------------
Rochester Gas & Electric Corp. 283,100 6,086,650
- --------------------------------------------------
Sierra Pacific Resources 233,300 5,919,988
- --------------------------------------------------
Southwestern Public Service Co. 178,500 5,823,563
- --------------------------------------------------
Texas Utilities Co. 135,700 5,801,175
- --------------------------------------------------
Unicom Corp. 207,900 5,795,213
- -------------------------------------------------- ------------
51,764,363
RAILROADS: 0.9%
Norfolk Southern Corp. 64,100 5,432,475
- --------------------------------------------------
RETAIL: 4.9%
Eckerd Corp. * 255,400 5,778,425
- --------------------------------------------------
Mercantile Stores Co. Inc. 91,700 5,375,913
- --------------------------------------------------
Staples Inc. * 307,775 6,001,613
- --------------------------------------------------
Tiffany & Co. 78,200 5,708,600
- --------------------------------------------------
Waban Inc. * 217,300 5,188,038
- -------------------------------------------------- ------------
28,052,588
SECURITIES DEALERS: 2.1%
Bear, Stearns & Co. Inc. 251,895 5,951,019
- --------------------------------------------------
Edwards (A G) Inc. 225,800 6,124,825
- -------------------------------------------------- ------------
12,075,844
SHOES: 1.0%
Nike Inc. 58,500 6,010,875
- --------------------------------------------------
SOAPS, CLEANER AND COSMETICS: 1.8%
Clorox Co. 68,300 6,053,088
- --------------------------------------------------
International Flavors & Fragrances Inc. 94,000 4,476,750
- -------------------------------------------------- ------------
10,529,838
TELECOMMUNICATIONS: 2.0%
Cincinnati Bell Inc. 108,300 5,645,138
- --------------------------------------------------
Pacific Telesis Group 165,100 5,572,125
- -------------------------------------------------- ------------
11,217,263
TEXTILES-APPAREL MANUFACTURING: 1.0%
Liz Claiborne Inc. 170,200 5,893,175
- -------------------------------------------------- ------------
TOTAL COMMON STOCKS: 95.5%
(Cost $469,029,131) 548,646,985
- --------------------------------------------------
Par
amount
-----------
MONEY MARKET INSTRUMENTS:
Cargill Inc.
. 5.32%, 7/2/96 $ 1,200,000 1,198,049
- --------------------------------------------------
Merrill Lynch
. 5.499%, 7/1/96 12,500,000 12,486,105
. 5.524%, 7/8/96 8,700,000 8,684,340
- --------------------------------------------------
U S West Communications Group
. 5.43%, 7/9/96 6,100,000 6,089,879
- -------------------------------------------------- ------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Market
value
-----------
<S> <C>
TOTAL MONEY MARKET INSTRUMENTS: 5.0%
(Cost $28,458,373) $ 28,458,373
- --------------------------------------------- ------------
TOTAL INVESTMENTS: 100.5%
(Cost $497,487,504) 577,105,358
- ---------------------------------------------
Other assets under liabilities: (0.5)% (2,642,283)
- --------------------------------------------- ------------
NET ASSETS: 100.0%
(equivalent to $27.167 per share based on
21,145,772 shares issued and outstanding) $574,463,075
- --------------------------------------------- ============
</TABLE>
* Non-income producing.
** Par amounts for foreign debt are expressed in local currency.
See accompanying notes to financial statements.
<PAGE>
This page left intentionally blank.
<PAGE>
STATEMENT OF OPERATIONS--UNAUDITED
SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
Global Growth
Aggressive Capital Equity Asset and
Growth Bond Appreciation Income Allocation Income
Fund Fund Fund Fund Fund Fund
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 410,382 $ 9,042,000 $ 547,062 $ 604,792 $ 3,432,002 $ 2,679,681
- -----------------------------------------------------------------------------------------------------------------------------
Dividends 247,243 - 963,256 4,178,583 1,857,216 22,809,838
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 657,625 9,042,000 1,510,318 4,783,375 5,289,218 25,489,519
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 618,024 593,028 640,223 1,415,077 985,599 3,329,575
- -----------------------------------------------------------------------------------------------------------------------------
Custodial fees 40,080 - 67,062 94,709 204,477 -
- -----------------------------------------------------------------------------------------------------------------------------
Directors fees 1,500 1,500 1,500 1,500 1,500 1,500
- -----------------------------------------------------------------------------------------------------------------------------
Dividend tax 3,056 - 36,300 97,206 97,340 -
- -----------------------------------------------------------------------------------------------------------------------------
Reporting and distribution 9,949 17,763 9,489 15,675 21,786 137,059
- -----------------------------------------------------------------------------------------------------------------------------
Other 28,520 20,557 4,771 70,315 10,757 14,303
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 701,129 632,848 759,345 1,694,482 1,321,459 3,482,437
- -----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) (43,504) 8,409,152 750,973 3,088,893 3,967,759 22,007,082
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on:
Investment transactions 7,359,836 (3,727,939) 6,249,171 6,802,721 15,733,168 58,456,941
- -----------------------------------------------------------------------------------------------------------------------------
Foreign currency transactions (71) - (58,021) 13,333 (149,117) -
- -----------------------------------------------------------------------------------------------------------------------------
Options written - - - - - -
- -----------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON INVESTMENTS 7,359,765 (3,727,939) 6,191,150 6,816,054 15,584,051 58,456,941
- -----------------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation or depreciation on:
Investments 7,874,581 (11,755,455) 8,863,799 14,651,374 (2,474,940) 101,527,684
- -----------------------------------------------------------------------------------------------------------------------------
Translation of assets and
liabilities in foreign currencies - - (144,188) 512 (571,434) -
- -----------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
OR DEPRECIATION ON INVESTMENTS 7,874,581 (11,755,455) 8,719,611 14,651,886 (3,046,374) 101,527,684
- -----------------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 15,234,346 (15,483,394) 14,910,761 21,467,940 12,537,677 159,984,625
- -----------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $15,190,842 $(7,074,242) $15,661,734 $24,556,833 $16,505,436 $181,991,707
=============================================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
STATEMENT OF OPERATIONS--UNAUDITED (CONTINUED)
SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
Money Social Special
International Managed Market Awareness Opportunities
Fund Fund Fund Fund Fund
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 174,751 $ 8,309,571 $2,273,446 $ 919,342 $ 909,447
----------------------------------------------------------------------------------------------------------------------
Dividends 4,065,483 3,790,478 - 2,837,245 5,728,223
- -----------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 4,240,234 12,100,049 2,273,446 3,756,587 6,637,670
- -----------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 1,586,312 1,211,274 193,613 805,248 1,095,915
- -----------------------------------------------------------------------------------------------------------------------
Custodial fees 292,816 - - - -
- -----------------------------------------------------------------------------------------------------------------------
Directors fees 1,500 1,500 1,500 1,500 1,500
- -----------------------------------------------------------------------------------------------------------------------
Dividend tax 513,113 - - - -
- -----------------------------------------------------------------------------------------------------------------------
Reporting and distribution 31,627 45,821 7,248 20,082 37,237
- -----------------------------------------------------------------------------------------------------------------------
Other 18,178 22,997 15,027 17,531 9,240
- -----------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 2,443,546 1,281,592 217,388 844,361 1,143,892
- -----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 1,796,688 10,818,457 2,056,058 2,912,226 5,493,778
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on:
Investment transactions 12,452,668 6,707,849 - 12,663,596 17,933,789
- -----------------------------------------------------------------------------------------------------------------------
Foreign currency transactions (4,650) - - - -
- -----------------------------------------------------------------------------------------------------------------------
Options written - - - - 201,831
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) ON INVESTMENTS 12,448,018 6,707,849 - 12,663,596 18,135,620
- -----------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation or depreciation on:
Investments 14,784,406 9,834,811 - 27,002,391 13,278,657
- -----------------------------------------------------------------------------------------------------------------------
Translation of assets and
liabilities in foreign currencies (96,814) - - - -
- -----------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
OR DEPRECIATION ON INVESTMENTS 14,687,592 9,834,811 - 27,002,391 13,278,657
- -----------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 27,135,610 16,542,660 - 39,665,987 31,414,277
- -----------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $28,932,298 $27,361,117 $2,056,058 $42,578,213 $36,908,055
=======================================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS-UNAUDITED
SIX MONTHS ENDED JUNE 30, 1996 AND 1995
<TABLE>
<CAPTION>
Global Growth
Aggressive Capital Equity Asset and
Growth Bond Appreciation Income Allocation Income
Fund Fund Fund Fund Fund Fund
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS AT JANUARY 1, 1995 $60,697,261 $195,009,766 $ 52,903,888 $ 78,861,187 $195,696,899 $1,161,324,307
- ----------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income 78,692 7,580,682 588,828 1,385,184 3,836,185 18,110,910
- ----------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on
investments 2,028,647 2,123,321 1,354,375 1,293,501 3,678,744 34,664,505
- ----------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation or depreciation
on investments 9,883,339 14,002,702 6,636,534 15,384,200 16,305,158 201,891,132
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 11,990,678 23,706,705 8,579,737 18,062,885 23,820,087 254,666,547
- ----------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income (78,692) (7,580,682) (588,828) (1,385,184) (3,836,185) (18,110,910)
- ----------------------------------------------------------------------------------------------------------------------
Net realized gain on investments -- -- -- (580,264) -- (69,061,295)
- ----------------------------------------------------------------------------------------------------------------------
TOTAL DIVIDENDS TO SHAREHOLDER (78,692) (7,580,682) (588,828) (1,965,448) (3,836,185) (87,172,205)
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 21,233,132 17,481,449 29,183,716 54,059,040 7,380,346 165,804,088
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 33,145,118 33,607,472 37,174,625 70,156,477 27,364,248 333,298,430
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS AT JUNE 30, 1995 $ 93,842,379 $228,617,238 $ 90,078,513 $149,017,664 $223,061,147 $1,494,622,737
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS AT JANUARY 1, 1996 $138,470,624 $250,816,054 $127,935,784 $238,770,876 $248,772,262 $1,833,450,457
- ----------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income (loss) (43,504) 8,409,152 750,973 3,088,893 3,967,759 22,007,082
- ----------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on
investments 7,359,765 (3,727,939) 6,191,150 6,816,054 15,584,051 58,456,941
- ----------------------------------------------------------------------------------------------------------------------
Net change in unrealized
appreciation or depreciation
on investments 7,874,581 (11,755,455) 8,719,611 14,651,886 (3,046,374) 101,527,684
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS 15,190,842 (7,074,242) 15,661,734 24,556,833 16,505,436 181,991,707
- ----------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income 43,504 (8,409,152) (750,973) (3,088,893) (3,967,759) (22,007,082)
- ----------------------------------------------------------------------------------------------------------------------
Net realized gain on
investments (2,790,157) - (6,563,386) (4,278,449) (14,516,993) (112,217,388)
- ----------------------------------------------------------------------------------------------------------------------
TOTAL DIVIDENDS TO
SHAREHOLDER (2,746,653) (8,409,152) (7,314,359) (7,367,342) (18,484,752) (134,224,470)
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM CAPITAL SHARE
TRANSACTIONS 43,944,968 21,460,207 57,113,970 96,218,866 37,112,851 306,638,219
- ----------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 56,389,157 5,976,813 65,461,345 113,408,357 35,133,535 354,405,456
- ----------------------------------------------------------------------------------------------------------------------
NET ASSETS AT JUNE 30, 1996 $194,859,781 $256,792,867 $193,397,129 $352,179,233 $283,905,797 $2,187,855,913
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS--UNAUDITED (CONTINUED)
SIX MONTHS ENDED JUNE 30, 1996 AND 1995
<TABLE>
<CAPTION>
Money Social Special
International Managed Market Awareness Opportunities
Fund Fund Fund Fund Fund
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net assets at January 1, 1995 $316,349,905 $442,139,584 $ 77,177,437 $ 163,514,159 $318,417,174
- ----------------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income 1,834,581 11,259,645 2,305,686 2,267,934 4,649,832
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (5,970,982) 9,207,676 -- 7,754,987 13,545,428
- ----------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on investments 13,003,827 53,019,636 -- 23,445,621 47,327,562
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 8,867,426 73,486,957 2,305,686 33,468,542 65,522,822
- ----------------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income (1,834,581) (11,259,645) (2,305,686) (2,267,934) (4,649,832)
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments (14,698,525) (718,100) --- (6,175,723) (15,004,876)
- ----------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholder (16,533,106) (11,977,745) (2,305,686) (8,443,657) (19,654,708)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from capital share transactions 24,094,439 19,837,346 7,568,577 25,140,492 52,719,151
- ----------------------------------------------------------------------------------------------------------------------------
Total increase in net assets 16,428,759 81,346,558 7,568,577 50,165,377 98,587,265
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at June 30, 1995 $332,778,664 $523,486,142 $ 84,746,014 $213,679,536 $417,004,439
============================================================================================================================
Net assets at January 1, 1996 $358,390,603 $589,164,601 $ 75,319,387 $297,982,902 $505,754,680
- ----------------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income (loss) 1,796,688 10,818,457 2,056,058 2,912,226 5,493,778
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments 12,448,018 6,707,849 -- 12,663,596 18,135,620
- ----------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation
or depreciation on investments 14,687,592 9,834,811 -- 27,002,391 13,278,657
- ----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations 28,932,298 27,361,117 2,056,058 42,578,213 36,908,055
- ----------------------------------------------------------------------------------------------------------------------------
Dividends to shareholder from:
Net investment income (1,796,688) (10,818,457) (2,056,058) (2,912,226) (5,493,778)
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments (2,498,695) (37,948,391) -- (18,559,957) (38,158,400)
- ----------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholder (4,295,383) (48,766,848) (2,056,058) (21,472,183) (43,652,178)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from capital share transactions 37,575,167 79,039,431 11,482,309 111,059,279 75,452,518
- ----------------------------------------------------------------------------------------------------------------------------
Total increase in net assets 62,212,082 57,633,700 11,482,309 132,165,309 68,708,395
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at June 30, 1996 $420,602,685 $646,798,301 $ 86,801,696 $430,148,211 $574,463,075
============================================================================================================================
</TABLE>
See accompanying notes to financial statements.
<PAGE>
Notes to financial statements--unaudited
June 30, 1996
1. SIGNIFICANT ACCOUNTING POLICIES
THE FUNDS: Aggressive Growth Fund, Bond Fund, Capital Appreciation Fund, Equity
Income Fund, Global Asset Allocation Fund, Growth and Income Fund, International
Fund, Managed Fund, Money Market Fund, and Social Awareness Fund are registered
as open-end, diversified management investment companies and Special
Opportunities Fund, is registered as an open-end, non-diversified management
investment company under the Investment Company Act of 1940, as amended. The
Funds' shares are sold only to The Lincoln National Life Insurance Company
(Lincoln Life) for allocation to its Variable Annuity Account C, which was
established for the purpose of funding variable annuity contracts, and to its
Flexible Premium Variable Life Accounts D, G, and K, which were established for
the purpose of funding variable universal life contracts.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
<S> <C>
Aggressive Growth Fund The investment objective is to maximize capital
appreciation. The Fund invests in stocks of
smaller, lesser-known companies which have a
chance to grow significantly in a short time.
Bond Fund The investment objective is to maximize current
income consistent with prudent investment
strategy. The Fund invests primarily in medium
and long-term corporate and government bonds.
Capital Appreciation Fund The investment objective is to maximize long-term
growth of capital in a manner consistent with
preservation of capital. The Fund primarily buys
stocks in a large number of companies of all sizes
if the companies are competing well and if their
products or services are in high demand. It may
also buy some money market securities and bonds,
including junk (high-risk) bonds.
Equity Income Fund The investment objective is to achieve reasonable
income by investing primarily in income-producing
equity securities. The Fund invests mostly in
high-income stocks and some high-yielding bonds
(including junk bonds).
Global Asset Allocation The investment objective is to maximize long-term
Fund total return consistent with preservation of
capital. The Fund allocates its assets among
several categories of equity and fixed-income
securities, both of U.S. and foreign issuers.
Growth and Income Fund The investment objective is to maximize long-term
capital appreciation. The Fund buys stocks of
established companies.
International Fund The investment objective is to maximize long-term
capital appreciation. The Fund trades in
securities issued outside the U.S.--mostly stocks,
with an occasional bond or money market security.
Managed Fund The investment objective is to maximize long-term
total return (capital gains plus income)
consistent with prudent investment strategy. The
Fund invests in a mix of stocks, bonds, and money
market securities, as determined by an investment
committee.
</TABLE>
46
<PAGE>
<TABLE>
<CAPTION>
Notes to financial statements--unaudited (continued)
FUND INVESTMENT OBJECTIVE
- --------------------------------------------------------------------------------
<S> <C>
Money Market Fund The investment objective is to maximize current
income consistent with the preservation of
capital. The Fund invests in short-term
obligations issued by U.S. corporations. The U.S.
Government, and federally-chartered banks and U.S.
branches of foreign banks.
Social Awareness Fund The investment objective is to maximize long-term
capital appreciation. The Fund buys stocks of
established companies which adhere to certain
specific social criteria.
Special Opportunities Fund The investment objective is to maximize capital
appreciation. The Fund primarily invests in
mid-size companies whose stocks have significant
growth potential. Current income is a secondary
consideration.
</TABLE>
INVESTMENT VALUATION: Investments are stated at value. Portfolio securities
which are traded on stock exchanges are valued at the last reported sale price
on the exchange or market where primarily traded or listed or, in the absence of
recent sales, at the mean between the last reported bid and asked prices. Long-
term debt investments are valued at their bid quotations. The Funds hedge
certain portions of their exposure to fluctuations in interest, market, and
foreign exchange risks by entering into derivative transactions. These hedges
include options, financial futures, and forward foreign currency contracts.
Options traded on exchanges are valued at the last bid price for options
purchased and the last sale price for options written. Options traded in the
over-the-counter market are valued at the last bid price for options purchased
and the last asked price for options written. Financial futures are valued at
the settlement price established each day by the board of trade or exchange on
which they are traded. Forward foreign currency contracts are valued at the
forward exchange rates prevailing on the day of valuation. Other securities and
assets for which market quotations are not readily available are valued at fair
value as determined in good faith by or under the direction of the Funds' Board
of Directors. Money market instruments in securities are stated at amortized
cost, which approximates market value.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME: Investment transactions are
accounted for on the trade date. Dividend income is recorded on the ex-dividend
date and interest income is recorded on the accrual basis. Interest income
includes premium and discount amortization on money market instruments and
mortgage-backed securities; it also includes original issue and market discount
amortization on long-term debt investments. Realized gains or losses from
investment transactions are reported on an identified cost basis. Gains and
losses on premiums from expired options are recognized on the date of
expiration.
SECURITIES SOLD SHORT: Short-selling of securities obligate the Funds to
replace the security borrowed by purchasing it at market value at the
replacement date. The Funds would realize a gain (loss) if the price of the
security declines (increases) between the sale and replacement date.
FOREIGN CURRENCY TRANSACTIONS: The books and records of the Funds are
maintained in U.S. dollars. All assets and liabilities denominated in a foreign
currency are translated into U.S. dollars based upon foreign exchange rates
prevailing at the end of the period. Income and expenses and purchases and
sales of investments are translated into U.S. dollars at the rate of exchange
prevailing on the respective dates of such transactions. The effects of changes
in foreign currency exchange rates on investments in securities are not
segregated from the effects of changes in market prices of those securities, but
are included with the net realized and unrealized gain or loss on investment in
securities.
Reported net realized gains and losses on foreign currency transactions arise
from sales and maturities of forward foreign currency contracts, currency gains
and losses between the trade and settlement dates on securities transactions,
and the differences between the amounts of dividends, interest, and foreign
withholding taxes recorded on the Funds' books and the U.S. dollar equivalent of
the amounts actually received paid. Net change in unrealized appreciation or
depreciation on translation of assets and liabilities in foreign currencies
arise from changes in the value of other assets and liabilities at the end of
the period resulting from changes in the exchange rates.
47
<PAGE>
Notes to financial statements--unaudited (continued)
EXPENSES: The custodian bank of the Bond Fund, Growth and Income Fund, Managed
Fund, Money Market Fund, Social Awareness Fund and Special Opportunities Fund
has agreed to waive its custodial fees when the Funds maintain a prescribed
amount of cash on deposit in certain non-interest bearing accounts. For the six
months ended June 30, 1996, the custodial fees offset arrangements were not
material to either total expenses or the calculation of average net assets and
the ratio of expenses to average net assets.
TAXES: Each Fund has complied with the special provisions of the Internal
Revenue Code for regulated investment companies. As such, each Fund is not
subject to U.S. federal income taxes to the extent that it distributes all of
its taxable income for its fiscal year.
Withholding taxes on foreign interest have been provided for in accordance with
the applicable country's tax rates.
2. OTHER ASSETS OVER (UNDER) LIABILITIES
The statement of net assets accounts "Other assets over (under) liabilities" at
June 30, 1996 consisted of the following assets (liabilities):
<TABLE>
<CAPTION>
Global Growth
Aggressive Capital Equity Asset and
Growth Bond Appreciation Income Allocation Income
Fund Fund Fund Fund Fund Fund
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Cash (overdraft) $ 559,363 $ 17,667 $ 98,287 $ 280 $ 334,263 $ (155,258)
Foreign currency - - 281,210 1,099,216 3,255,186 -
Receivable for dividends earned 33,215 - 66,855 791,642 355,386 4,658,349
Receivable for interest earned 10,506 3,755,293 20,768 145,073 1,603,915 223,569
Receivable for securities sold - - 1,943,223 692,218 2,594,066 669,405
Receivable for capital shares sold 379,869 - 388,184 655,381 15,450 -
Dividends declared and unpaid 43,504 (8,409,152) (656,275) (3,088,893) (3,967,759) (22,007,082)
Payable for securities purchased (191,650) - (1,919,783) (3,537,622) (4,383,393) (5,453,202)
Management fees payable (117,937) (96,741) (124,217) (269,042) (170,031) (586,146)
Other, net (359,674) (26,794) (246,245) (107,987) 131,969 (54,123)
----------------------------------------------------------------------------------------
$ 357,196 $(4,759,727) $ (147,993) $(3,619,734) $ (230,948) $(22,704,488)
========================================================================================
</TABLE>
<TABLE>
<CAPTION>
Money Social Special
International Managed Market Awareness Opportunities
Fund Fund Fund Fund Fund
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cash (overdraft) $ 1,959 $ (8,204) $ 61,008 $ 581,430 $ 421,044
Foreign currency 11,099,943 - - - -
Receivable for dividends earned 643,366 757,407 - 542,277 1,173,794
Receivable for interest earned 1,327 3,881,435 528,568 51,889 22,194
Receivable for securities sold 1,288,384 1,222,742 - - 2,316,065
Receivable for capital shares sold 107,517 - - - -
Dividends declared and unpaid (1,248,877) (10,818,457) (2,056,058) (2,912,226) (5,493,778)
Payable for securities purchased (7,375,266) (2,068,642) - (466,877) (873,075)
Management fees payable (277,165) (205,452) (34,114) (150,774) (187,259)
Other, net (273,999) (37,700) (19,807) 2,283 (21,268)
-----------------------------------------------------------------------------------
$ 3,967,189 $ (7,276,871) $(1,520,403) $(2,351,998) $ (2,642,283)
-----------------------------------------------------------------------------------
</TABLE>
<PAGE>
Notes to financial statements--unaudited (continued)
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Lincoln Investment Management, Inc. (the Advisor) manages the Funds' investment
portfolios, maintains their accounts and records, and furnishes the services of
individuals to perform executive and administrative functions of the Funds. In
return for these services, the Advisor receives a management fee at an annual
rate of .48% of the first $200,000,000 of the average daily net asset value of
the Funds, .40% of the next $200,000,000, and .30% of the average daily net
asset value of the Funds in excess of $400,000,000 for all the Funds except for
the Global Asset Allocation Fund which has management fee annual rates of .75%,
.70%, and .68%, respectively, the International Fund which has management fee
annual rates of .90%, .75%, and .60%, respectively, and the Aggressive Growth
Fund which has management fee annual rates of .75%, .70%, and .65%,
respectively, and the Capital Appreciation Fund and the Equity Income Fund which
have management fees of .80% and .95%, respectively, with no breakpoints. If
the aggregate annual expenses of the Funds, including the management fee, but
excluding taxes, interest, brokerage commissions relating to the purchase or
sale of portfolio securities and extraordinary non-recurring expenses, exceeds
1-1/2% of the average daily net asset value of the Fund, the Advisor will
reimburse the Funds in the amount of such excess. No reimbursement was due for
the six months ended June 30, 1996.
Certain officers and directors of the Funds are also officers or directors of
Lincoln Life. The compensation of unaffiliated directors of the Funds is borne
by the Funds.
4. ANALYSIS OF NET ASSETS
Net assets at June 30, 1996 consisted of the following:
<TABLE>
<CAPTION>
Global Growth
Aggressive Capital Equity Asset and
Growth Bond Appreciation Income Allocation Income
Fund Fund Fund Fund Fund Fund
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Common stock, par value
$.01 per share** $ 148,096 $ 222,238 $ 142,069 $ 245,441 $ 214,212 $ 716,001
Paid-in capital in excess of par
value of shares issued 155,424,523 263,291,541 162,536,644 294,690,654 242,432,654 1,653,503,571
Undistributed net realized
gain (loss) on investments 7,359,765 (8,079,976) 6,191,241 6,816,054 15,583,941 58,456,941
Net unrealized appreciation
on investments 31,927,397 1,359,064 24,527,175 50,427,084 25,674,880 475,179,400
-----------------------------------------------------------------------------------------
$194,859,781 $256,792,867 $193,397,129 $352,179,233 $283,905,687 $2,187,855,913
=========================================================================================
Money Social Special
International Managed Market Awareness Opportunities
Fund Fund Fund Fund Fund
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Common stock, par value
$.01 per share** $ 294,956 $ 419,458 $ 86,802 $ 179,558 $ 211,458
Paid-in capital in excess of par
value of shares issued 355,731,956 553,305,740 86,714,894 329,674,231 476,498,143
Undistributed net realized
gain (loss) on investments 12,448,018 6,707,849 - 12,663,596 18,135,620
Net unrealized appreciation
on investments 52,127,755 86,365,254 - 87,630,826 79,617,854
------------------------------------------------------------------------
$420,602,685 $646,798,301 $ 86,801,696 $430,148,211 $574,463,075
------------------------------------------------------------------------
</TABLE>
** Each Fund has 50,000,000 authorized shares except for the Growth and Income
Fund which has 100,000,000.
<PAGE>
Notes to financial statements--unaudited (continued)
5. INVESTMENTS
The cost of investments for federal income tax purposes is the same as for book
purposes. The aggregate cost of investments purchased, the aggregate proceeds
from investments sold, the aggregate gross unrealized appreciation, the
aggregate gross unrealized depreciation and the net unrealized appreciation of
investments and other financial instruments at June 30, 1996 are as follows:
<TABLE>
<CAPTION>
Aggregate Aggregate Gross Gross Net
cost of proceeds unrealized unrealized unrealized
purchases from sales appreciation depreciation appreciation
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Aggressive Growth Fund $ 90,375,980 $ 68,741,808 $ 33,430,617 $ 1,503,220 $ 31,927,397
Bond Fund 247,114,179 242,531,522 4,559,196 3,200,132 1,359,064
Capital Appreciation Fund 116,152,040 70,457,977 26,352,090 1,824,915 24,527,175
Equity Income Fund 126,939,006 38,750,146 52,848,113 2,421,029 50,427,084
Global Asset Allocation Fund 249,624,403 222,671,197 29,422,494 3,747,614 25,674,880
Growth and Income Fund 713,422,091 539,782,745 518,417,339 43,237,939 475,179,400
International Fund 182,931,263 141,418,715 59,541,587 7,413,832 52,127,755
Managed Fund 434,421,862 404,552,906 97,082,586 10,717,332 86,365,254
Social Awareness Fund 166,082,963 78,338,210 93,757,234 6,126,408 87,630,826
Special Opportunities Fund 272,273,604 231,693,372 93,586,219 13,968,365 79,617,854
</TABLE>
6. SUPPLEMENTAL FINANCIAL INSTRUMENT INFORMATION
OPTIONS: The Funds purchase or write options which are exchange traded to hedge
fluctuation risks in the price of certain securities. When the Funds write a
call or put option, an amount equal to the premium received is reflected as a
liability. The amount of the liability is subsequently "marked-to-market" to
reflect the current market value of the option written. The premium paid by the
Funds for the purchase of a call or put option is recorded as an investment and
subsequently "marked-to-market" to reflect the current market value of the
option purchased.
The Funds are subject to the risk of an imperfect correlation between movement
in the price of the instrument and the price of the underlying security or
transaction. Risks may also arise due to illiquid secondary markets for the
instruments. Written call option activity for 1996 is summarized as follows:
<TABLE>
<CAPTION>
Special Opportunities
Fund
-----------------------------
Number of Premiums
shares received
-----------------------------
<S> <C> <C>
Options outstanding at January 1, 1996 -- $ --
Options written 355,000 794,917
Options exercised (88,500) (177,182)
Options closed (266,500) (617,735)
-----------------------------
Options outstanding at June 30, 1996 -- $ --
=============================
</TABLE>
<PAGE>
Notes to financial statements--unaudited (continued)
FORWARD FOREIGN CURRENCY CONTRACTS: The Funds may purchase or sell forward
foreign currency contracts to hedge risks of fluctuations in specific
transactions or portfolio positions. Forward foreign currency contracts
obligate the Funds to take or deliver a financial instrument of foreign currency
at a future date at a specified price. The unrealized gain or loss on the
contracts are reflected in the accompanying financial statements. The funds are
subject to the credit risks that the counter parties to these contracts will
fail to perform; although this risk is minimized by purchasing such agreements
from financial institutions with long standing, superior performance records.
In addition, the Funds are subject to the market risks associated with
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar; however, such changes in the value generally are offset by changes in
the value of the items being hedged by such contracts. The sale of forward
foreign currency contracts that were open at June 30, 1996 were as follows:
<TABLE>
<CAPTION>
Foreign Aggregate Unrealized
Fund currency face value Settlement date(s) gain (loss)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Capital 5,000,000 Deutschemark $ 3,286,447 September 1996 $ 17,141
Appreciation 2,475,000 Great Britain Pound 3,756,365 August, November 1996 85,840
Fund 16,000,000 Japanese Yen 155,238 July 1996 (8,579)
7,800,000 Netherlands Guilder 4,589,765 September, November 1996 27,587
---------
$121,989
=========
Global 7,975,588 Australian Dollar 6,294,114 September 1996 ($25,033)
Asset 4,709,000 Canadian Dollar 3,431,797 September 1996 23,181
Allocation 25,229,101 Danish Krone 4,274,930 September 1996 (5,901)
Fund 67,513,100 Deutschemark 44,301,585 September, November 1996 (27,191)
30,814,000 French Franc 5,397,998 September, November 1996 (40,041)
2,183,500 Great Britain Pound 3,307,899 September, November 1996 76,528
5,596,663,450 Italian Lira 3,595,374 September 1996 7,624
4,614,111,700 Japanese Yen 43,440,957 July, September 1996 (83,640)
2,000,000 Netherlands Guilder 1,191,540 November 1996 (7,485)
1,580,000 New Zealand Dollar 1,061,697 September 1996 (1,643)
211,121,985 Spanish Peseta 1,627,412 September 1996 (12,620)
25,830,000 Swedish Krona 3,856,249 September 1996 (8,458)
13,547,000 Swiss Franc 10,885,824 September 1996 11,121
---------
$(93,558)
---------
</TABLE>
<PAGE>
Notes to financial statements--unaudited (continued)
FINANCIAL FUTURE CONTRACTS: The Funds may purchase or sell financial futures
contracts, which are exchange traded, to hedge fluctuation risks of adverse
changes in exchange markets or interest rates. Financial futures contracts
obligate the Funds to take delivery or deliver a financial instrument at a
future date at a specified price. The Funds deposit with its custodian a
specified amount of cash or eligible securities called "initial margin" or
"variation margin". The market value of cash and investments pledged to cover
margin requirements for open positions at June 30, 1996 was $559,363 for the
Aggressive Growth Fund, $858,500 for the Global Asset Allocation Fund, and
$946,256 for the Social Awareness Fund. The unrealized gain or loss on the
contracts are reflected in the accompanying financial statements. The Funds are
subject to the market risks of unexpected changes in the underlying markets and
interest rates; however, such changes in the value generally are offset by
changes in the value of the items being hedged by such contracts. Purchased
financial futures contracts open at June 30, 1996 were as follows:
<TABLE>
<CAPTION>
Underlying Expiration Unrealized
Fund Contracts face amount date gain (loss)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggressive Growth 240 96 Midcap $28,428,000 September 1996 $160,286
Fund
Global Asset 9 S&P 500 stock index 3,045,600 September 1996 (4,500)
Allocation Fund 28 Nikeii (Japan)
225 stock index 2,889,864 September 1996 27,785
20 Ftse (UK)
100 stock index 2,872,340 September 1996 (41,117)
18 Dax (German)
stock index 3,064,913 September 1996 17,133
--------
(2,699)
Social Awareness 60 S&P stock index 20,304,000 September 1996 (5,040)
</TABLE>
REPURCHASE AGREEMENTS: The Funds, through their respective custodians, receive
delivery of the underlying securities, whose market value is required to be at
least 102% of the repurchase price. The advisor is responsible for determining
that the value of the collateral is at least equal to the repurchase price.
Repurchase agreements are subject to the risk of the default or insolvency of
the counterparty.
7. CONCENTRATION OF CREDIT RISK
The Money Market Fund had investments in securities issued by banks, including
foreign banks, foreign branches of domestic banks, and other financial
institutions representing 35.8% of net assets at June 30, 1996. The ability of
these entities to meet their obligations may be affected by economic conditions
related to the industry.
The Capital Appreciation Fund, Equity Income Fund, Global Asset Allocation Fund
and International Fund invest in foreign securities. As a result, there may be
additional risks, such as the investments being subject to restrictions as to
repatriation of cash back to the United States and to political or economic
uncertainties. None of these Funds had investments in excess of 4% in any
individual foreign country except the International Fund.
52
<PAGE>
Notes to financial statements--unaudited (continued)
7. CONCENTRATION OF CREDIT RISK (CONTINUED)
Distribution of investments for the International Fund by industry, as a
percentage of net assets, consisted of the following at June 30, 1996:
<TABLE>
<CAPTION>
<S> <C>
Electrical and Electronics 11.5%
Banking and Insurance 8.0
Telecommunications 7.3
Finance 5.8
Office and Business Equipment and 5.3
Services
Machinery and Engineering 4.6
Drug and Hospital Supplies 4.3
Broadcasting 4.1
Consumer Products and Services 4.1
Others (individually less than 4%) 45.0
-------
100.0%
=======
</TABLE>
8. SUMMARY OF CHANGES FROM CAPITAL SHARE TRANSACTIONS
<TABLE>
<CAPTION>
Shares issued upon
Capital Reinvestment of capital shares
shares sold dividends redeemed
-------------------------------------------------------------------------------------
Shares Amount Shares Amount Shares Amount
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six months ended June 30, 1995:
Aggressive Growth Fund 2,361,805 $22,801,299 7,077 $65,795 (170,043) $(1,633,962)
Bond Fund 914,424 10,413,461 1,218,139 13,491,950 (570,301) (6,423,962)
Capital Appreciation Fund 2,743,496 29,215,296 33,385 352,060 (35,561) (383,640)
Equity Income Fund 4,702,941 52,659,663 139,249 1,493,577 (8,299) (94,200)
Global Asset Allocation Fund 676,183 7,877,266 498,073 5,639,620 (527,286) (6,136,540)
Growth and Income Fund 3,080,048 75,306,254 4,377,795 100,769,414 (425,159) (10,271,580)
International Fund 2,153,768 26,534,547 1,305,767 15,350,245 (1,444,640) (17,790,353)
Managed Fund 731,886 10,029,024 1,590,320 20,897,760 (830,577) (11,089,438)
Money Market Fund 2,497,026 24,970,258 319,661 3,196,614 (2,059,829) (20,598,295)
Social Awareness Fund 942,078 16,845,814 560,629 9,583,464 (73,236) (1,288,786)
Special Opportunities Fund 1,782,194 41,428,814 1,003,269 22,445,189 (489,693) (11,154,852)
Net increase
resulting from capital
share transactions
-----------------------
Shares Amount
-----------------------
<S> <C> <C>
Aggressive Growth Fund 2,198,839 $21,233,132
Bond Fund 1,562,262 17,481,449
Capital Appreciation Fund 2,741,320 29,183,716
Equity Income Fund 4,833,891 54,059,040
Global Asset Allocation Fund 646,970 7,380,346
Growth and income Fund 7,032,684 165,804,088
International Fund 2,014,895 24,094,439
Managed Fund 1,491,629 19,837,346
Money Market Fund 756,858 7,568,577
Social Awareness Fund 1,429,471 25,140,492
Special Opportunities Fund 2,295,770 52,719,151
Shares issued upon
Capital Reinvestment of capital shares
shares sold dividends redeemed
-------------------------------------------------------------------------------------
Shares Amount Shares Amount Shares Amount
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Six months ended June 30, 1996:
Aggressive Growth Fund 3,415,938 43,537,326 225,749 2,850,545 (198,379) (2,442,903)
Bond Fund 1,308,044 15,680,572 1,278,235 15,554,772 (842,782) (9,775,137)
Capital Appreciation Fund 3,763,039 49,731,553 545,394 7,469,658 (6,582) (87,241)
Equity Income Fund 6,327,951 88,562,036 546,111 7,755,394 (6,995) (98,564)
Global Asset Allocation Fund 1,388,701 17,041,290 1,602,598 22,006,756 (147,825) (1,935,195)
Growth and Income Fund 5,337,342 161,469,995 4,811,213 151,848,696 (223,641) (6,680,472)
International Fund 2,772,233 37,955,103 330,120 4,436,376 (357,031) (4,816,312)
Managed Fund 1,571,725 24,645,491 3,696,096 60,383,859 (388,744) (5,989,919)
Money Market Fund 3,134,460 31,344,604 455,235 4,552,350 (2,441,464) (24,414,645)
Social Awareness Fund 3,791,023 87,687,949 978,353 23,475,634 (4,432) (104,304)
Special Opportunities Fund 1,632,634 44,436,431 1,695,199 48,288,651 (651,722) (17,272,564)
Net Increase
resulting from capital
share transactions
-----------------------
Shares Amount
-----------------------
<S> <C> <C>
Aggressive Growth Fund 3,443,308 43,944,968
Bond Fund 1,743,497 21,460,207
Capital Appreciation Fund 4,301,851 57,113,970
Equity Income Fund 6,867,067 96,218,866
Global Asset Allocation Fund 2,843,474 37,112,851
Growth and Income Fund 9,930,914 306,638,219
International Fund 2,745,322 37,575,167
Managed Fund 4,879,077 79,039,431
Money Market Fund 1,148,231 11,482,309
Social Awareness Fund 4,764,944 111,059,279
Special Opportunities Fund 2,676,111 75,452,518
</TABLE>
9. DISTRIBUTION TO SHAREHOLDER
The Funds declare dividends daily on net investment income and annually on net
realized gains, if any. Dividends are distributed annually.
10. CAPITAL LOSS CARRYFORWARD
As of June 30, 1996, the Bond Fund had $8,008,867 of unused capital loss
carryforward for federal tax purposes. The loss carryforward expires in the
years 2002 to 2004.
53
<PAGE>
Financial highlights - unaudited
(Selected data for each capital share outstanding throughout the year)
<TABLE>
<CAPTION>
Income from investment operation Less dividends from:
----------------------------------------------- -------------------------------------------
Net Net
asset realized and Total
Year value Net unrealized from Net Net realized
ended beginning investment gain(loss) on investment investment gain on Total
12/31 of period income(loss) investment operations income investments dividends
===========================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Aggressive Growth Fund
1993 $10.000 $ - $ - $ - $ - $ - $ -
1994 10.000 0.019 (0.952) (0.933)** (0.019) - (0.019)
1995 9.048 0.007 3.135 3.142 (0.007) - (0.007)
1996+ 12.183 (0.003) 1.190 1.187 0.003 (0.215) (0.212)
Bond Fund
1987 $12.448 $ 1.055 ($0.873) $0.182 ($1.055) ($0.434) ($1.489)
1988 11.141 1.053 (0.131) 0.922 (1.053) - (1.053)
1989 11.010 1.027 0.428 1.455 (1.027) - (1.027)
1990 11.438 0.998 (0.240) 0.758 (0.998) - (0.998)
1991 11.198 0.956 0.990 1.946 (0.956) - (0.956)
1992 12.188 0.903 0.052 0.955 (0.903) - (0.903)
1993 12.240 0.758 0.703 1.461 (0.758) (0.250) (1.008)
1994 12.693 0.741 (1.233) (0.492) (0.741) (0.519) (1.260)
1995 10.941 0.803 1.306 2.109 (0.803) - (0.803)
1996+ 12.247 0.382 (0.692) (0.310) (0.382) - (0.382)
Capital Appreciation Fund
1993 $10.000 $ - $ - $ - $ - $ - $ -
1994 10.000 0.134 0.152 0.286 (0.134) - (0.134)
1995 10.152 0.116 2.764 1.880 (0.116) - (0.116)
1996+ 12.916 0.062 1.239 1.301 (0.062) (0.542) (0.604)
Equity Income Fund
1993 $10.000 $ - $ - $ - $ - $ - $ -
1994 10.000 0.258 0.335 0.593 (0.258) - (0.258)
1995 10.335 0.275 3.218 3.493 (0.275) (0.046) (0.321)
1996+ 13.507 0.145 1.042 1.187 (0.145) (0.200) (0.345)
Global Asset Allocation Fund
1987 $10.000 $ 0.146 ($0.973) ($0.827) ($0.146) $ - ($0.146)
1988 9.027 0.405 0.589 0.994 (0.405) - (0.405)
1989 9.616 0.573 1.165 1.738 (0.573) - (0.573)
1990 10.781 0.549 (0.516) 0.033 (0.549) (0.279) (0.828)
1991 9.986 0.426 1.391 1.817 (0.426) (0.138) (0.564)
1992 11.239 0.404 0.271 0.675 (0.404) (0.306) (0.710)
1993 11.204 0.362 1.522 1.884 (0.362) (0.224) (0.586)
1994 12.502 0.349 (0.702) (0.353) (0.349) (0.656) (1.005)
1995 11.144 0.412 2.247 2.659 (0.412) - (0.412)
1996+ 13.391 0.194 0.571 0.765 (0.194) (0.708) (0.902)
Growth and Income Fund
1987 $18.031 $ 0.587 $ 2.148 $2.735 ($0.587) ($0.539) ($1.126)
1988 19.640 0.540 0.729 1.269 (0.540) (2.997) (3.537)
1989 17.372 0.793 2.859 3.652 (0.793) - (0.793)
1990 20.231 0.512 (0.539) (0.027) (0.512) (1.068) (1.580)
1991 18.624 0.617 5.142 5.759 (0.617) - (0.617)
1992 23.766 0.663 (0.336) 0.327 (0.663) (0.503) (1.166)
1993 22.927 0.610 2.285 2.895 (0.610) (0.519) (1.129)
1994 24.693 0.668 (0.428) 0.240 (0.668) (0.968) (1.636)
1995 23.297 0.701 7.680 8.380 (0.701) (1.221) (1.921)
1996+ 29.756 0.324 2.476 2.800 (0.324) (1.650) (1.974)
International Fund
1991 $10.000 ($0.030) $ 0.047 $0.017 ($0.059) $ ($0.059)
1992 9.958 0.037 (0.867) (0.830) (0.037) - (0.037)
1993 9.091 0.010 3.551 3.561 (0.010) - (0.010)
1994 12.642 0.033 0.385 0.418 (0.033) - (0.033)
1995 13.027 0.069 0.892 0.961 (0.069) (0.521) (0.590)
1996+ 13.398 0.064 0.951 1.015 (0.064) (0.089) (0.153)
Net Ratio of net
asset Ratio of investment Net assets
Year value expenses income Portfolio at end Average
ended end Total to average to average turnover of period commission
12/31 of period return** net assets net assets rate (000's) rate***
===========================================================================================================================
Aggressive Growth Fund
1993 $10.000 - - - - $ 110 -
1994 9.048 (9.52%) 1.11% 0.21% 100.31% 60,697 -
1995 12.183 34.78% 0.94% 0.06% 85.82% 138,471 -
1996+ 13.158 10.68% 0.42% (.03%) 46.07% 194,860 $0.032
Bond Fund
1987 $11.141 (0.47%) 0.56% 9.17% 176.75% $ 50,795 -
1988 11.010 9.24% 0.57% 9.41% 183.79% 59,947 -
1989 11.438 13.23% 0.53% 9.13% 121.19% 91,152 -
1990 11.198 5.45% 0.53% 9.00% 76.67% 103,845 -
1991 12.188 17.96% 0.52% 8.32% 72.80% 139,854 -
1992 12.240 7.68% 0.52% 7.45% 257.27% 168,636 -
1993 12.693 13.39% 0.50% 6.05% 324.90% 226,150 -
1994 10.941 (5.01%) 0.50% 6.40% 213.26% 195,010 -
1995 12.247 19.59% 0.49% 6.90% 139.61% 250,816 -
1996+ 11.555 0.09% 0.25% 3.26% 104.28% 256,793 N/A
Capital Appreciation Fund
1993 $10.000 - - - - $ 110 -
1994 10.152 1.52% 1.18% 1.33% 185.28% 52,904 -
1995 12.916 27.95% 1.07% 1.00% 195.63% 127,936 -
1996+ 13.613 10.88% 0.47% 0.47% 50.09% 193,397 $0.034
Equity Income Fund
1993 $10.000 - - - - $ 110 -
1994 10.335 3.35% 1.26% 2.48% 33.40% 78,861 -
1995 13.507 32.84% 1.15% 2.27% 27.81% 238,771 -
1996+ 14.349 9.28% 0.57% 1.04% 13.25% 352,179 $0.029
Global Asset Allocation Fund
1987* $9.027 (9.73%) 0.45% 1.42% 12.92% $ 21,084 -
1988 9.616 7.56% 1.16% 4.36% 136.79% 26,885 -
1989 10.781 16.74% 1.33% 5.59% 79.11% 44,913 -
1990 9.986 (0.12%) 1.14% 5.49% 56.28% 56,088 -
1991 11.239 20.17% 1.04% 4.01% 101.41% 76,269 -
1992 11.204 6.39% 1.07% 3.70% 128.53% 95,607 -
1993 12.502 17.88% 1.05% 3.04% 208.55% 153,500 -
1994 11.144 (2.43%) 1.06% 3.07% 134.33% 195,697 -
1995 13.391 23.58% 0.92% 3.36% 146.49% 248,772 -
1996+ 13.254 7.54% 0.49% 1.48% 91.55% 283,906 $0.038
Growth and Income Fund
1987 $19.640 14.75% 0.52% 2.78% 142.01% $ 177,354 -
1988 17.372 8.06% 0.54% 3.08% 179.88% 209,513 -
1989 20.231 19.86% 0.50% 4.06% 208.98% 295,399 -
1990 18.624 1.68% 0.48% 2.79% 59.47% 356,329 -
1991 23.766 30.83% 0.44% 2.86% 33.59% 581,297 -
1992 22.927 1.24% 0.41% 2.97% 74.50% 765,457 -
1993 24.693 13.31% 0.38% 2.58% 60.76% 1,034,105 -
1994 23.297 0.65% 0.37% 2.85% 76.34% 1,161,324 -
1995 29.756 39.06% 0.35% 2.64% 51.76% 1,833,450 -
1996+ 30.582 10.75% 0.17% 1.08% 27.39% 2,187,856 $0.047
International Fund
1991* $9.958 (0.42%) 1.06% (0.30%) 25.18% $ 20,935 -
1992 9.091 (8.41%) 1.46% 0.39% 22.86% 45,627 -
1993 12.642 39.46% 1.24% 0.09% 61.44% 161,470 -
1994 13.027 3.09% 1.24% 0.25% 52.78% 316,350 -
1995 13.398 8.34% 1.27% 0.59% 63.15% 358,391 -
1996+ 14.260 7.72% 0.63% 0.46% 36.63% 420,603 $0.030
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS - UNAUDITED (CONTINUED)
(Selected data for each capital share outstanding throughout the year)
<TABLE>
<CAPTION>
Income from investment operation Less dividends from:
----------------------------------------- --------------------------------------
Net Net
asset realized and Total
Year value Net unrealized from Net Net realized
ended beginning investment gain (loss) on investment investment gain on Total
12/31 of period income (loss) investment operations income investments dividends
=======================================================================================================
Managed Fund
<S> <C> <C> <C> <C> <C> <C> <C>
1987 $12.248 $0.674 $0.352 $1.026 $(0.674) $(0.317) $(0.991)
1988 12.283 0.666 0.352 1.018 (0.666) (1.108) (1.774)
1989 11.527 0.798 1.186 1.984 (0.798) - (0.798)
1990 12.713 0.705 (0.334) 0.371 (0.705) (0.438) (1.143)
1991 11.941 0.710 1.906 2.616 (0.710) - (0.710)
1992 13.847 0.653 (0.158) 0.495 (0.653) (0.036) (0.689)
1993 13.653 0.584 0.908 1.492 (0.584) (0.409) (0.993)
1994 14.152 0.628 (0.814) (0.186) (0.628) (0.555) (1.183)
1995 12.783 0.623 3.132 3.755 (0.623) (0.020) (0.643)
1996+ 15.895 0.266 0.459 0.725 (0.266) (0.934) (1.200)
Money Market Fund
1987 $10.000 $0.658 - $0.658 $(0.658) - $(0.658)
1988 10.000 0.744 - 0.744 (0.744) - (0.744)
1989 10.000 0.909 - 0.909 (0.909) - (0.909)
1990 10.000 0.802 - 0.802 (0.802) - (0.802)
1991 10.000 0.571 - 0.571 (0.571) - (0.571)
1992 10.000 0.354 - 0.354 (0.354) - (0.354)
1993 10.000 0.276 - 0.276 (0.276) - (0.276)
1994 10.000 0.381 - 0.381 (0.381) - (0.381)
1995 10.000 0.570 - 0.570 (0.570) - (0.570)
1996+ 10.000 0.253 - 0.253 (0.253) - (0.253)
Social Awareness Fund
1988* $10.000 $0.032 $0.454 $0.486 $(0.032) $ $(0.032)
1989 10.454 0.309 2.920 3.229 (0.309) (0.024) (0.333)
1990 13.350 0.289 (0.989) (0.700) (0.289) (0.154) (0.443)
1991 12.207 0.348 4.242 4.590 (0.348) - (0.348)
1992 16.449 0.399 0.179 0.578 (0.399) (0.051) (0.450)
1993 16.577 0.326 1.792 2.118 (0.326) (0.454) (0.780)
1994 17.915 0.377 (0.461) (0.084) (0.377) (0.812) (1.189)
1995 16.642 0.432 6.491 6.923 (0.432) (0.543) (0.975)
1996+ 22.590 0.184 2.540 2.724 (0.184) (1.174) (1.358)
Special Opportunities Fund
1987 $16.617 $0.064 $1.316 $1.380 $(0.064) - $(0.064)
1988 17.933 0.060 0.327 0.387 (0.060) (2.659) (2.719)
1989 15.601 0.276 4.904 5.180 (0.276) - (0.276)
1990 20.505 0.236 (1.931) (1.695) (0.236) (1.208) (1.444)
1991 17.366 0.323 7.195 7.518 (0.323) - (0.323)
1992 24.561 0.546 1.106 1.652 (0.546) (0.955) (1.501)
1993 24.712 0.530 2.703 3.233 (0.530) (2.937) (3.467)
1994 24.478 0.565 (0.942) (0.377) (0.565) (1.372) (1.937)
1995 22.164 0.616 6.131 6.747 (0.616) (0.912) (1.528)
1996+ 27.383 0.271 1.666 1.937 (0.271) (1.882) (2.153)
Net Ratio of net
asset Ratio of investment Net assets
Year value expenses income Portfolio at end Average
ended end Total to average to average turnover of period commission
12/31 of period return** net assets net assets rate (000's) rate***
===========================================================================================================
<S> <C> <C> <C> <C> <C> <C>
1987 $12.283 7.35% 0.53% 5.23% 121.98% $ 121,167 -
1988 11.527 8.17% 0.55% 5.71% 166.57% 140,135 -
1989 12.713 16.00% 0.52% 6.47% 158.73% 182,576 -
1990 11.941 3.41% 0.52% 5.96% 93.38% 204,310 -
1991 13.847 22.59% 0.50% 5.53% 22.70% 276,899 -
1992 13.653 3.69% 0.49% 4.86% 226.66% 343,439 -
1993 14.152 11.91% 0.45% 4.24% 235.59% 445,040 -
1994 12.783 (2.42)% 0.44% 4.45% 160.79% 442,140 -
1995 15.895 30.11% 0.43% 4.37% 112.52% 589,165 -
1996+ 15.420 6.80% 0.20% 1.73% 66.37% 646,798 $0.045
1987 $10.000 8.02% 0.56% 6.50% - $ 55,093 -
1988 10.000 5.45% 0.55% 7.21% - 59,160 -
1989 10.000 7.20% 0.54% 9.09% - 88,551 -
1990 10.000 7.61% 0.53% 7.94% - 102,399 -
1991 10.000 7.48% 0.53% 5.79% - 149,555 -
1992 10.000 4.70% 0.53% 3.48% - 92,472 -
1993 10.000 4.46% 0.50% 2.76% - 81,042 -
1994 10.000 3.20% 0.52% 3.82% - 77,177 -
1995 10.000 4.22% 0.52% 5.67% - 75,319 -
1996+ 10.000 6.40% 0.27% 2.54% - 86,802 N/A
1988* $10.454 4.54% 1.64% 0.30% 10.07% $2,067 -
1989 13.350 28.51% 0.99% 2.43% 63.37% 9,565 -
1990 12.207 (5.54)% 0.65% 2.34% 29.39% 24,674 -
1991 16.449 36.98% 0.56% 2.33% 45.00% 52,959 -
1992 16.577 2.87% 0.55% 2.50% 84.32% 89,669 -
1993 17.915 13.77% 0.51% 1.90% 84.43% 137,606 -
1994 16.642 (0.39)% 0.53% 2.22% 64.97% 163,514 -
1995 22.590 43.50% 0.50% 2.21% 54.02% 297,983 -
1996+ 23.956 13.60% 0.23% 0.79% 23.38% 430,148 $0.046
1987 $17.933 8.77% 0.56% 0.31% 110.80% $58,866 -
1988 15.601 3.73% 0.59% 0.39% 73.91% 63,982 -
1989 20.505 31.92% 0.55% 1.50% 92.56% 75,245 -
1990 17.366 (7.28)% 0.55% 1.33% 37.50% 83,762 -
1991 24.561 43.14% 0.53% 1.49% 111.60% 132,753 -
1992 24.712 6.24% 0.53% 2.35% 128.49% 189,867 -
1993 24.478 18.31% 0.49% 2.29% 74.11% 273,998 -
1994 22.164 (1.55)% 0.48% 2.49% 74.63% 318,417 -
1995 27.383 32.05% 0.45% 2.39% 90.12% 505,755 -
1996+ 27.167 8.28% 0.21% 1.00% 44.53% 574,463 $0.044
===========================================================================================================
</TABLE>
* The per share data, total return, ratios and portfolio turnover are
calculated for the period from commencement of investment activity on
August 3, 1987 through December 31, 1987 for the Global Asset Allocation
Fund, May 2, 1988 through December 31, 1988 for the Social Awareness Fund,
and May 1, 1991 through December 31, 1991 for the International Fund.
Accordingly, the total percentage, ratios, and portfolio turnover have NOT
been calculated on an annualized basis.
** Total return percentages in this table are calculated on the basis
prescribed by the Securities and Exchange Commission. These percentages are
based on the underlying mutual fund shares in which Separate Account C, D,
G, and K may invest. The total return percentages in the table are NOT
calculated on the same basis as the performance percentages noted in the
letter at the front of this booklet (those percentages are based upon the
change in unit value).
*** The average commission rate is required to be disclosed for fiscal years
beginning on or after September 1, 1995. The rate is the average commission
paid per share for security trades on which a commission is charged. This
amount may vary from period to period and from fund to fund depending on
the mix of trades executed in various markets where trading practices and
commission rate structures may differ.
+ Six months ended June 30, 1996. Returns, ratios, and portfolio turnovers
have NOT been calculated on an annualized basis.
<PAGE>
Delaware Group Premium Fund, Inc.--
Equity/Income Series
Statement of net assets
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
COMMON STOCK--97.44% of shares value
----------------------
<S> <C> <C>
Aerospace & defense--1.74%
General Dynamics 34,500 $ 2,139,000
-----------
2,139,000
-----------
AUTOMOBILES & AUTOMOTIVE PARTS--4.17%
Chrysler 35,241 2,184,942
Ford Motor 52,800 1,709,400
General Motors 23,200 1,215,100
-----------
5,109,442
-----------
BANKING, FINANCE & INSURANCE--18.12%
American General 44,000 1,600,500
AmSouth Bancorporation 29,600 1,069,300
Aon 48,150 2,443,613
Bank of Boston 37,400 1,851,300
CIGNA 14,600 1,720,975
Chase Manhattan 28,100 1,984,563
Crestar Financial 30,400 1,622,600
First Chicago NBD 44,125 1,726,391
ITT Hartford Group 30,000 1,597,500
Mercantile Bancorporation 25,900 1,152,550
St. Paul 40,500 2,166,750
Summit Bancorp 49,650 1,743,956
U.S. Bancorp 42,700 1,539,869
-----------
22,219,867
-----------
BUILDINGS & MATERIALS--1.06%
Armstrong World Industries 22,600 1,302,325
-----------
1,302,325
-----------
CABLE, MEDIA & PUBLISHING--2.75%
McGraw-Hill 73,700 3,371,775
-----------
3,371,775
-----------
CHEMICALS--6.33%
Imperial Chemical ADR 44,000 2,161,500
PPG Industries 25,800 1,257,750
Witco 28,200 969,375
duPont (E.I.) deNemours 42,700 3,378,638
-----------
7,767,263
-----------
CONSUMER PRODUCTS--1.37%
Maytag 80,600 1,682,525
-----------
1,682,525
-----------
ELECTRONICS & ELECTRICAL EQUIPMENT--6.62%
AMP 25,200 1,011,150
Eaton 26,400 1,547,700
Hubbell-Class B 10,000 662,500
Pitney Bowes 66,700 3,184,925
Thomas & Betts 45,800 1,717,500
-----------
8,123,775
-----------
ENERGY--11.34%
AMOco 26,800 1,939,650
British Petroleum ADR 16,200 1,731,375
Exxon 23,300 2,024,188
Mobil 9,200 1,031,550
Occidental Petroleum 78,400 1,940,400
Phillips Petroleum 48,400 2,026,750
Sonat 31,200 1,404,000
Williams 36,500 1,806,750
-----------
13,904,663
-----------
FOOD, BEVERAGE & TOBACCO--7.46%
General Mills 26,100 $ 1,422,450
Heinz (H.J.) 65,700 1,995,638
Philip Morris 30,000 3,120,000
RJR Nabisco Holdings 67,040 2,078,240
UST 15,400 527,450
-------------
9,143,778
-------------
HEALTHCARE & PHARMACEUTICALS--12.38%
American Home Products 45,100 2,711,638
Bristol-Myers Squibb 27,900 2,511,000
Glaxo Wellcome-ADR 58,700 1,570,225
Pharmacia & Upjohn 58,300 2,587,063
SmithKline Beecham-ADR 56,000 3,045,000
Warner-Lambert 39,900 2,194,500
Zeneca Group-ADR 8,300 558,175
-------------
15,177,601
-------------
METALS & MINING--1.11%
Freeport-McMoRan Copper & Gold Class B 42,700 1,361,063
-------------
1,361,063
-------------
PACKAGING & CONTAINERS--1.49%
Minnesota Mining & Manufacturing 26,500 1,828,500
-------------
1,828,500
-------------
PAPER & FOREST PRODUCTS--6.20%
Georgia-Pacific 23,400 1,661,400
Kimberly-Clark 26,100 2,016,225
Temple-Inland 26,540 1,240,745
Union Camp 18,000 877,500
Weyerhaeuser 42,600 1,810,500
-------------
7,606,370
-------------
RETAIL--3.11%
May Department Stores 43,300 1,894,375
Penney (J.C.) 36,600 1,921,500
-------------
3,815,875
-------------
TELECOMMUNICATIONS--6.33%
ALLTEL 50,700 1,559,025
BellSouth 19,300 817,838
Frontier 67,300 2,061,063
GTE 40,600 1,816,850
Royal PTT Nederland-SP ADR 40,000 1,510,000
-------------
7,764,776
-------------
TRANSPORTATION & SHIPPING--3.72%
Conrail 22,500 1,493,438
Union Pacific 43,900 3,067,513
-------------
4,560,951
-------------
UTILITIES--2.14%
BCE 42,100 1,662,950
PECO Energy 37,000 962,000
-------------
2,624,950
-------------
TOTAL COMMON STOCK
(cost $107,464,952) 119,504,499
-------------
CONVERTIBLE PREFERRED STOCK--0.78%
BANKING, FINANCE & INSURANCE--0.78%
Salomon 7.625% pfd cv Series FSA 35,000 958,125
-------------
TOTAL CONVERTIBLE PREFERRED STOCK
(cost $931,875) 958,125
-------------
</TABLE>
56
<PAGE>
<TABLE>
<CAPTION>
Principal Market
REPURCHASE AGREEMENTS-1.78% amount value
-----------------------
<S> <C> <C>
With Chase Manhattan 5.40% 7/1/96
(dated 6/28/96,collateralized by $653,000
U.S. Treasury Notes 7.75% due 1/31/00 market
value $701,640) $685,000 $ 685,000
- --------------------------------------------
With J.P. Morgan Bank 5.40% 7/1/96
(dated 6/28/96, collateralized by $759,000
U.S. Treasury Notes 6.25% due 8/31/00 market
value $768,811) 751,000 751,000
- --------------------------------------------
With PaineWebber 5.40% 7/1/96
(dated 6/28/96, collateralized by $445,000
U.S. Treasury Notes 7.875% due 4/15/98
market value $465,616 and $303,000
U.S. Treasury Notes 5.00% due 1/31/99
market value $300,676) 750,000 750,000
- -------------------------------------------- ------------
TOTAL REPURCHASE AGREEMENTS
(cost $2,186,000) 2,186,000
- -------------------------------------------- ------------
TOTAL MARKET VALUE OF SECURITIES-100.00%
(cost $110,582,827) 122,648,624
- -------------------------------------------- ------------
Other assets under liabilities-0.00% (1,495)
- -------------------------------------------- ------------
Net assets applicable to 8,526,502 shares
($.01 par value) outstanding; equivalent to
$14.38 per share-100.00% $122,647,129
- -------------------------------------------- ============
See accompanying notes
DELAWARE GROUP PREMIUM FUND, INC.--
EMERGING GROWTH SERIES
STATEMENT OF NET ASSETS
JUNE 30, 1996
(UNAUDITED)
Number Market
COMMON STOCK-88.22% of shares value
-----------------------
AEROSPACE & DEFENSE-1.03%
AAR 10,200 $ 207,825
- --------------------------------------------
*Kellstrom Industries 16,400 130,175
- -------------------------------------------- ------------
338,000
------------
AUTOMOBILES & AUTO PARTS-0.84%
*Boyd Wheels 8,700 111,469
- --------------------------------------------
*Custom Chrome 6,100 163,175
- -------------------------------------------- ------------
274,644
------------
BANKING, FINANCE & INSURANCE-0.57%
*CRW Financial 3,160 102,700
- --------------------------------------------
*Dignity Partners 5,200 45,662
- --------------------------------------------
*Medallion Financial 3,200 39,600
- -------------------------------------------- ------------
187,962
------------
BUILDINGS & MATERIALS-0.37%
*LSI Industries 7,200 122,400
- -------------------------------------------- ------------
122,400
------------
CABLE, MEDIA, & PUBLISHING-3.89%
*Central European Media Entertainment 9,700 237,650
- --------------------------------------------
*Evergreen Media Class A 4,200 178,500
- --------------------------------------------
*HA-LO Industries 1,550 40,688
- --------------------------------------------
*Infinity Broadcasting Class A 9,350 280,500
- --------------------------------------------
*Marvel Entertainment Group 6,400 60,000
- --------------------------------------------
*Norwood Promotional Products 10,600 234,525
- --------------------------------------------
*Young Broadcasting Class A 6,400 242,400
- -------------------------------------------- ------------
1,274,263
------------
COMPUTERS & TECHNOLOGY-13.59%
- --------------------------------------------
*A.D.A.M. Software 7,700 25,025
- --------------------------------------------
*Activision 11,800 154,138
- --------------------------------------------
*Bachman Information Systems 25,800 182,919
- --------------------------------------------
*C-COR Electronics 8,500 150,875
- --------------------------------------------
*Cadence Design Systems 13,150 443,813
- --------------------------------------------
*Caere 21,100 242,650
- --------------------------------------------
*DecisionOne Holdings 4,800 115,200
- --------------------------------------------
*Elamex S.A. de C.V. 18,300 180,713
- --------------------------------------------
*Excalibur Technologies 8,800 195,800
- --------------------------------------------
*Fulcrum Technologies 3,800 49,400
- --------------------------------------------
*GTECH Holdings 10,300 305,138
- --------------------------------------------
*Gandalf Technologies 17,200 135,987
- --------------------------------------------
*HPR 8,900 185,788
- --------------------------------------------
*Health Systems Design 900 13,388
- --------------------------------------------
*Imnet Systems 7,900 239,963
- --------------------------------------------
*Oracle 6,500 256,344
- --------------------------------------------
*PLATINUM Technology 12,295 185,193
- --------------------------------------------
*Quality Systems 7,000 125,125
- --------------------------------------------
*Ross Systems 25,900 145,688
- --------------------------------------------
*SPSS 4,300 108,575
- --------------------------------------------
Scientific-Atlanta 13,000 201,500
- --------------------------------------------
*Sierra On-Line Class A 10,700 468,794
- --------------------------------------------
*Sunquest Information Systems 2,800 41,650
- --------------------------------------------
*Symantec 9,200 115,575
- --------------------------------------------
*Techforce 6,000 37,125
- --------------------------------------------
*Transition Systems 2,900 81,925
- --------------------------------------------
*Verity 1,000 28,375
- --------------------------------------------
*Walsh International 4,600 42,263
- -------------------------------------------- ----------
4,458,929
----------
CONSUMER PRODUCTS-1.41%
Alberto Culver Class A 1,300 52,000
- --------------------------------------------
Alberto Culver Class B 1,000 46,375
- --------------------------------------------
*FoxMeyer Health 10,400 154,700
- --------------------------------------------
*Gilend Sciences 8,300 208,538
- -------------------------------------------- ----------
461,613
----------
ELECTRONICS & ELECTRICAL-5.32%
*Cable Design Technologies 9,000 297,000
- --------------------------------------------
*CIDCO 5,900 207,975
- --------------------------------------------
*Digital Microwave 6,900 114,281
- --------------------------------------------
*ITI Technologies 7,500 247,031
- --------------------------------------------
*Protection One 13,500 221,906
- --------------------------------------------
*Storage Technology 13,400 512,550
- --------------------------------------------
*TriQuint Semiconductor 7,000 144,375
- -------------------------------------------- ----------
1,745,118
----------
ENERGY-2.76%
*ENSCO International 8,100 263,250
- --------------------------------------------
*Forasol-Foramer N.V. 14,200 179,275
- --------------------------------------------
*Global Industries 5,200 156,000
- --------------------------------------------
*Marine Drilling 30,600 307,913
- --------------------------------------------
----------
906,438
----------
ENVIRONMENTAL SERVICES-7.56%
*Continental Waste Industries 18,900 422,887
- --------------------------------------------
*+Republic Industries 58,920 1,719,728
- --------------------------------------------
*++Republic Industries 11,600 337,559
- -------------------------------------------- ----------
2,480,174
----------
FOOD, BEVERAGE & TOBACCO-3.26%
*Buffets 26,000 315,250
- --------------------------------------------
Dreyer's Grand Ice Cream 8,300 264,563
- --------------------------------------------
*Hart Brewing 2,600 27,300
- --------------------------------------------
*Lincoln Snacks 3,900 5,606
- --------------------------------------------
*Opta Food Ingredients 13,400 135,675
- --------------------------------------------
*Sonic 13,050 319,725
- -------------------------------------------- ----------
1,068,119
----------
</TABLE>
57
<PAGE>
<TABLE>
<CAPTION>
Number Market
of shares value
---------- ----------
Healthcare & pharmaceuticals--11.95%
<S> <C> <C>
*Aksys Ltd. 1,500 $ 22,313
- -------------------------------------
*American Oncology Resources 10,900 235,713
- -------------------------------------
*Apache Medical Systems 800 9,800
- -------------------------------------
*CIMA Labs 15,800 120,475
- -------------------------------------
*Columbia Laboratories 12,600 187,425
- -------------------------------------
*Connective Therapeutics 14,800 153,550
- -------------------------------------
*Cypress Bioscience 52,933 88,456
- -------------------------------------
*Cytyc 6,100 159,363
- -------------------------------------
*DepoTech 7,900 197,500
- -------------------------------------
*DUSA Pharmaceuticals 9,000 79,313
- -------------------------------------
*Eclipse Surgical Technologies 3,300 45,375
- -------------------------------------
*EntreMed 1,900 28,738
- -------------------------------------
*Ethical Holdings PLC 11,100 108,225
- -------------------------------------
*FPA Medical Management 20,300 315,919
- -------------------------------------
*FemRx 6,000 65,250
- -------------------------------------
*IBAH 8,800 70,950
- -------------------------------------
*IMPATH 1,700 30,813
- -------------------------------------
*Interneuron Pharmaceutical 1,200 35,700
- -------------------------------------
*Molecular Biosystems 16,700 150,300
- -------------------------------------
*NCS HealthCare 2,200 66,275
- -------------------------------------
*NeoPath 5,200 130,650
- -------------------------------------
*Norland Medical Systems 9,300 176,700
- -------------------------------------
*Noven Pharmaceuticals 900 14,456
- -------------------------------------
*Pediatrix Medical Group 2,000 98,000
- -------------------------------------
*Renal Treatment Centers 12,800 368,000
- -------------------------------------
*Royce Laboratories 12,100 62,013
- -------------------------------------
*Sano 8,500 133,875
- -------------------------------------
*Sunrise Assisted Living 2,300 56,063
- -------------------------------------
*Total Renal Care Holdings 8,400 354,900
- -------------------------------------
*Ventritex 12,100 207,969
- -------------------------------------
*Vertex Pharmaceuticals 4,500 137,250
- -------------------------------------
*Vyrex 2,100 8,663
- -------------------------------------
----------
3,919,992
----------
Industrial machinery--0.80%
*Central Sprinkler 11,900 261,800
----------
261,800
----------
Leisure, lodging & entertainment--10.31%
*Ascent Entertainment Group 21,600 540,000
- -------------------------------------
*Bell Sports 7,207 52,701
- -------------------------------------
*Cinergi Pictures Entertainment 18,600 41,269
- -------------------------------------
*Dave & Buster's 8,900 236,963
- -------------------------------------
*Equity Marketing 6,600 103,125
- -------------------------------------
*Extended Stay America 8,900 279,238
- -------------------------------------
*GT Bicycles 9,000 147,375
- -------------------------------------
K2 5,200 141,050
- -------------------------------------
*Mirage Resorts 8,100 437,400
- -------------------------------------
*Morton's Restaurant Group 12,600 220,500
- -------------------------------------
*Rio Hotel and Casino 12,300 189,113
- -------------------------------------
*Savoy Pictures Entertainment 21,200 111,300
- -------------------------------------
*Studio Plus Hotels 5,900 193,225
- -------------------------------------
*Sun International Hotels 8,000 388,000
- -------------------------------------
*Trump Hotels & Casino Resorts 6,700 190,950
- -------------------------------------
*WMS Industries 4,500 110,813
- -------------------------------------
----------
3,383,022
----------
Metals & mining--0.69%
*Gibraltar Steel 11,300 226,000
- ------------------------------------- ----------
226,000
----------
Real estate--1.31%
*Security Capital Pacific Trust 19,800 430,650
- ------------------------------------- ----------
430,650
----------
Retail--10.52%
*99 Cents Only Stores 100 1,400
- -------------------------------------
*Central Tractor Farm & Country 3,700 46,481
- -------------------------------------
Duty Free International 18,600 283,650
- -------------------------------------
*Eagle Hardware & Garden 10,800 164,025
- -------------------------------------
*Egghead 20,900 229,900
- -------------------------------------
*Finish Line Class A 7,100 202,794
- -------------------------------------
*General Nutrition 13,200 230,175
- -------------------------------------
*InaCom 12,000 225,750
- -------------------------------------
*Neiman-Marcus Group 8,300 224,100
- -------------------------------------
*Neostar Retail Group 2,000 10,125
- -------------------------------------
*Petco Animal Supplies 6,700 192,625
- -------------------------------------
*Piercing Pagoda 5,800 105,125
- -------------------------------------
*Russ Berrie 20,100 369,338
- -------------------------------------
Schultz Sav-O Stores 14,400 185,400
- -------------------------------------
*Staples 8,950 173,966
- -------------------------------------
*Toy Biz 10,800 218,700
- -------------------------------------
*Urban Outfitters 7,100 177,500
- -------------------------------------
*Vons Companies 5,100 190,613
- -------------------------------------
*Wet Seal 9,200 219,075
- ------------------------------------- ----------
3,450,742
----------
Telecommunications--3.87%
*EIS International 14,000 354,375
- -------------------------------------
*IntelCom Group 8,400 210,000
- -------------------------------------
*P.T. Pasifik Satelit Nusantara 3,600 72,900
- -------------------------------------
*PageMart Wireless 6,000 61,125
- -------------------------------------
*ProNet 4,300 52,944
- -------------------------------------
*Spectralink 4,600 42,838
- -------------------------------------
*Tele-Communications International 10,600 187,488
- -------------------------------------
*Teleport Communications Group 4,200 79,800
- -------------------------------------
*TresCom International 7,500 76,875
- -------------------------------------
*Verilink 5,100 131,325
- ------------------------------------- ----------
1,269,670
----------
Textiles, apparel & furniture--1.29%
*Cutter & Buck 5,000 61,563
- -------------------------------------
Pillowtex 9,000 111,375
- -------------------------------------
*Sport-Haley 5,900 87,025
- -------------------------------------
Wolverine World Wide 5,000 162,500
- ------------------------------------- ----------
422,463
----------
Transportation & shipping--2.01%
*Midwest Express Holdings 3,200 102,800
- -------------------------------------
Pittston Brink's Group 8,900 259,213
- -------------------------------------
*Rush Enterprises 4,600 57,500
- -------------------------------------
*Team Rental Group 2,200 30,525
- -------------------------------------
*Trico Marine Services 9,300 210,413
----------
660,451
----------
Utilities--1.22%
*AES China Generating Class A 15,400 162,663
- -------------------------------------
*York Research 22,400 238,000
- ------------------------------------- ----------
400,663
----------
Miscellaneous--3.65%
*CUC International 16,400 582,200
- -------------------------------------
*NFO Research 8,300 194,013
- -------------------------------------
*National Education 16,500 235,125
- -------------------------------------
*Norrell 3,800 186,675
- ------------------------------------- ----------
1,198,013
----------
Total common stock
(cost $24,245,736) 28,941,126
- ------------------------------------- ----------
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Principal Market
REPURCHASE AGREEMENTS--11.17% amount value
-----------------------
<S> <C> <C>
With Chase Manhattan 5.40% 7/1/96
(dated 6/28/96, collateralized by $1,095,000
U.S. Treasury Notes 7.75% due 1/31/00,
market value $1,175,714) $1,148,000 $1,148,000
- -----------------------------------------------
With J.P. Morgan Securities 5.40% 7/1/96
(dated 6/28/96, collateralized by $1,272,000
U.S. Treasury Notes 6.25% due 8/31/00,
market value $1,288,268) 1,258,000 1,258,000
- -----------------------------------------------
With PaineWebber 5.40% 7/1/96 (dated 6/28/96,
collateralized by $746,000 U.S. Treasury Notes
7.875% due 4/15/98, market value $780,216
and $508,000 U.S. Treasury Notes 5.00% due
1/31/99, market value $503,831) 1,257,000 1,257,000
- ----------------------------------------------- -----------
TOTAL REPURCHASE AGREEMENTS
(cost $3,663,000) 3,663,000
- ----------------------------------------------- -----------
TOTAL MARKET VALUE OF SECURITIES OWNED-99.39%
(cost $27,908,736) 32,604,126
- ----------------------------------------------- -----------
Other assets over liabilities--0.61% 199,109
- ----------------------------------------------- -----------
Net assets applicable to 2,165,126 shares
($.01 par value outstanding); equivalent to
$15.15 per share--100.00% $32,803,235
- ----------------------------------------------- ===========
</TABLE>
*Non-income producing securities for the six months ended June 30, 1996.
+Security exempt from registration under the Securities Act of 1933, as amended.
These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers (see note 7).
++Restricted Securities--Investment in securities not registered under the
Securities Act of 1933, as amended. These securities have contractual
restrictions on resale (see note 7).
See accompanying notes
DELAWARE GROUP PREMIUM FUND, INC.--
GLOBAL BOND SERIES
STATEMENT OF NET ASSETS
JUNE 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal value
BONDS--94.54% amount* (U.S.$)
-----------------------
<S> <C> <C>
AUSTRIA--2.66%
Republic of Austria 5.625% 12/14/00 Ast 1,000,000 94,144
- ----------------------------------------------- -----------
94,144
-----------
BELGIUM--2.11%
Kingdom of Belgium 10.00% 8/2/00 Bef 2,000,000 74,538
- ----------------------------------------------- -----------
74,538
-----------
CANADA--8.92%
Autobahn Schnell 8.50% 3/3/03 C$ 60,000 45,667
- -----------------------------------------------
Export-Import Bank of Japan 7.75% 10/8/02 60,000 44,349
- -----------------------------------------------
Government of Canada 10.25% 3/15/14 100,000 88,543
- -----------------------------------------------
KFW International Finance 6.50% 12/28/01 60,000 42,426
- -----------------------------------------------
Kingdom of Norway 8.375% 1/27/03 60,000 45,365
- -----------------------------------------------
Ontario Hydro 10.00% 3/19/01 60,000 48,797
- ----------------------------------------------- -----------
315,147
-----------
DENMARK--8.18%
Kingdom of Denmark 8.00% 11/15/01 Dk 1,100,000 200,390
- -----------------------------------------------
Kingdom of Denmark 8.00% 3/15/06 500,000 88,657
- ----------------------------------------------- -----------
289,047
-----------
GERMANY--3.58%
Baden Wurt L Finance NV 6.625% 8/20/03 Dem 25,000 16,655
- -----------------------------------------------
Bundesrepblik Deutscheland 8.375% 5/21/01 150,000 109,980
- ----------------------------------------------- -----------
126,635
-----------
ITALY--4.16%
European Investment Bank 12.75% 2/15/00 Itl 200,000,000 146,939
- ----------------------------------------------- -----------
146,939
-----------
NETHERLANDS--1.88%
Netherlands Government 9.00% 5/15/00 Nlg 100,000 66,491
- ----------------------------------------------- -----------
66,491
-----------
NEW ZEALAND--16.60%
Government of New Zealand 8.00% 2/15/01 NZ$ 200,000 131,342
- -----------------------------------------------
Government of New Zealand 8.00% 4/15/04 400,000 260,739
- -----------------------------------------------
Government of New Zealand 8.00% 11/15/06 300,000 194,835
- ----------------------------------------------- -----------
586,916
SPAIN--16.89%
Spanish Government 10.50% 10/30/03 Sp 50,000,000 428,088
- -----------------------------------------------
Spanish Government 8.20% 2/28/09 23,000,000 169,041
- ----------------------------------------------- -----------
597,129
SWEDEN--3.42%
Swedish Government 13.00% 6/15/01 Sk 400,000 73,710
- -----------------------------------------------
Swedish Government 9.00% 4/20/09 300,000 47,228
- ----------------------------------------------- -----------
120,938
-----------
UNITED KINGDOM--11.36%
Abbey National Treasury 8.00% 4/2/03 Gbp 50,000 77,639
- -----------------------------------------------
Barclays Bank plc 6.50% 2/16/04 30,000 42,126
- -----------------------------------------------
DEPFA Finance 7.125% 11/11/03 50,000 73,464
- -----------------------------------------------
Glaxo Wellcome plc 8.75% 12/1/05 80,000 125,932
- -----------------------------------------------
UK Conversion S47 Stock Guilt 9.00% 3/3/00 50,000 82,422
- ----------------------------------------------- -----------
401,583
-----------
UNITED STATES--14.78%
U.S.Treasury Notes 7.50% 11/15/01 $ 500,000 522,310
- ----------------------------------------------- -----------
522,310
-----------
TOTAL BONDS
(cost $3,313,902) 3,341,817
- ----------------------------------------------- -----------
REPURCHASE AGREEMENTS--5.80%
With Chase Manhattan 5.40% 7/1/96 (dated
6/28/96, collateralized by $61,000 U.S. Treasury
Notes 7.75% due 1/31/00, market value $65,799) 64,000 64,000
- -----------------------------------------------
With J.P. Morgan Securities 5.40% 7/1/96
(dated 6/28/96, collateralized by $71,000
U.S. Treasury Notes 6.25% due 8/31/00, market
value $72,098) 71,000 71,000
- -----------------------------------------------
With PaineWebber 5.40% 7/1/96 (dated 6/28/96,
collateralized by $42,000 U.S Treasury Notes
7.875% due 4/15/98, market value $43,664
and $28,000 U.S. Treasury Notes 5.00% due
1/31/99, market value $28,197) 70,000 70,000
- ----------------------------------------------- -----------
TOTAL REPURCHASE AGREEMENTS
(cost $205,000) 205,000
- ----------------------------------------------- -----------
TOTAL MARKET VALUE OF SECURITIES OWNED--100.34%
(cost $3,518,902) 3,546,817
- ----------------------------------------------- -----------
Other assets under liabilities--(0.34%) (12,160)
- ----------------------------------------------- -----------
Net assets applicable to 348,646 shares
($.01 par value outstanding); equivalent to
$10.14 per share--100.00% $ 3,534,657
- ----------------------------------------------- ===========
</TABLE>
*Principal amount is stated in the currency in which each bond is denominated.
Ast--Austrian Schillings Nlg--The Netherlands Guilders
Bef--Belgian Francs NZ$--New Zealand Dollars
C$--Canadian Dollars Sp--Spanish Peseta
Dk--Danish Kroner Sk--Swedish Kroner
Dem--German Marks Gbp--British Pounds
Itl--Italian Lira $--U.S. Dollars
See accompanying notes
59
<PAGE>
STATEMENT OF OPERATIONS
(Unaudited)
<TABLE>
<CAPTION>
Equity/ Emerging Global
Income Growth Bond
Series Series Series
-----------------------------------
Period
5/2/96*
Six months ended to
June 30, 1996 6/30/96
<S> <C> <C> <C>
Investment income:
Interest $ 67,263 $ 114,256 $ 39,119
- -------------------------------------------------------------------------------------------------------------
Dividends 1,979,454 19,925 -
- -------------------------------------------------------------------------------------------------------------
Total investment income 2,046,717 134,181 39,119
- -------------------------------------------------------------------------------------------------------------
Expenses:
Management fees 348,891 89,568 3,978
- -------------------------------------------------------------------------------------------------------------
Dividend disbursing and transfer agent fees and expenses 5,886 1,190 60
- -------------------------------------------------------------------------------------------------------------
Custodial fees 2,521 9,721 2,200
- -------------------------------------------------------------------------------------------------------------
Professional fees 1,700 2,982 553
- -------------------------------------------------------------------------------------------------------------
Salaries 16,468 3,359 127
- -------------------------------------------------------------------------------------------------------------
Taxes other than income 6,367 1,050 58
- -------------------------------------------------------------------------------------------------------------
Directors fees 730 493 165
- -------------------------------------------------------------------------------------------------------------
Registration fees 2,800 2,550 220
- -------------------------------------------------------------------------------------------------------------
Printing and Postage - 1,878 20
- -------------------------------------------------------------------------------------------------------------
Other 4,240 1,390 56
- -------------------------------------------------------------------------------------------------------------
Total expenses 389,603 114,181 7,437
- -------------------------------------------------------------------------------------------------------------
Less expenses absorbed by Delaware Management Company, Inc. or
Delaware International Advisers Ltd. - (19,654) (3,214)
- -------------------------------------------------------------------------------------------------------------
Net investment income 1,657,114 39,654 34,896
- -------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on:
Investment transactions 9,197,446 1,001,747 4,958
- -------------------------------------------------------------------------------------------------------------
Foreign currency transactions - - (9,470)
- -------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments 9,197,446 1,001,747 (4,512)
- -------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments (2,965,733) 2,181,127 27,915
- -------------------------------------------------------------------------------------------------------------
Translation of assets and liabilities in foreign currencies - - (1,091)
- -------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments (2,965,733) 2,181,127 26,824
- -------------------------------------------------------------------------------------------------------------
NET GAIN ON INVESTMENTS 6,231,713 3,182,874 22,312
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,888,827 $3,222,528 $ 57,208
=============================================================================================================
</TABLE>
*Date of initial public offering.
See accompanying notes to financial statements.
60
<PAGE>
<TABLE>
<CAPTION>
Statements of changes in net assets
Year ended December 31, 1995, and the period ended June 30, 1996
Equity/ Emerging Global
Income Growth Bond
Series Series Series
---------------------------------------
<S> <C> <C> <C>
Net assets at January 1, 1995 $ 72,724,783 $ 7,086,759 $ -
- ----------------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income 2,891,895 128,617 -
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments 8,991,108 1,200,003 -
- ----------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments 15,300,401 2,501,445 -
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 27,183,404 3,830,065
- ----------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from:
Net investment income (2,866,310) (57,059) -
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments (1,335,871) - -
- ----------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders (4,202,181) (57,059) -
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from capital share transactions 13,297,450 9,649,899 -
- ----------------------------------------------------------------------------------------------------------------------------
Total increase in net assets 36,278,673 13,422,905 -
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at December 31, 1995 $109,003,456 $20,509,664 -
(Unaudited)
- ----------------------------------------------------------------------------------------------------------------------------
Changes from operations:
Net investment income 1,657,114 39,654 34,896
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments 9,197,446 1,001,747 (4,512)
- ----------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments (2,965,733) 2,181,127 26,824
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 7,888,827 3,222,528 57,208
- ----------------------------------------------------------------------------------------------------------------------------
Dividends to shareholders from:
Net investment income (1,701,888) (131,779) (10,429)
- ----------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments (8,895,014) (1,171,368) -
- ----------------------------------------------------------------------------------------------------------------------------
Total dividends to shareholders (10,596,902) (1,303,147) (10,429)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from capital share transactions 16,351,748 10,374,190 3,487,878
- ----------------------------------------------------------------------------------------------------------------------------
Total increase in net assets 13,643,673 12,293,571 3,534,657
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at June 30, 1996 $122,647,129 $32,803,235 $3,534,657
============================================================================================================================
*May 2, 1996, was the date of initial public offering for the Global Bond Series.
</TABLE>
See accompanying notes to financial statements.
61
<PAGE>
Notes to financial statements
June 30, 1996
(Unaudited)
Delaware Group Premium Fund, Inc. (the "Fund"), is registered as a diversified
open-end investment company under the Investment Company Act of 1940, as
amended. The Fund is organized as a Maryland corporation and offers ten series:
the Equity/Income Series, the High Yield Series, the Capital Reserves Series,
the Multiple Strategy Series, the Money Market Series, the Growth Series, the
International Equity Series, the Emerging Growth Series, the Value Series and
the Global Bond Series (the "Series"). The shares of the Series are sold only to
separate accounts of life insurance companies.
The Series' investment objectives are as follows:
Series Investment objective
------ --------------------
Equity/Income Series The investment objective is to seek the highest possible
total rate of return by selecting issues that exhibit the
potential for capital appreciation while providing
higher than average dividend income.
Emerging Growth Series The investment objective is to seek long-term capital
appreciation by investing primarily in small-capital
common stocks and convertible securities of emerging and
other growth-oriented companies. These securities will
have been judged to be responsive to changes in the
market place and to have fundamental characteristics to
support growth. Income is not an objective.
Global Bond Series The investment objective is to seek current income
consistent with preservation of principal by investing
primarily in fixed income securities that may also
provide the potential for capital appreciation. The
Series is a global fund, as such, at least 65% of the
Series' assets will be invested in fixed income
securities of issuers organized or having a majority of
their assets in or deriving a majority of their operating
income in at least three different countries, one of
which may be the United States.
1. Significant accounting policies
Investment valuation: Investments are stated at value. Portfolio securities
which are traded on stock exchanges are valued at the last reported sale price
on the exchange or market where primarily traded or listed. Securities not
traded or securities not listed are valued at the mean between the last quoted
bid and asked prices. Long-term debt investments are valued at their bid
quotations. Forward foreign currency contracts are valued at the forward
exchange rates prevailing on the day of valuation. Interpolated values are
derived when the settlement date of the contract is on an interim date for which
quotations are not available. Other securities and assets for which market
quotations are not readily available are valued at fair value as determined in
good faith by or under the direction of the Fund's Board of Directors. Money
market instruments are stated at amortized cost, which approximates market
value.
Investment transactions and investment income: Investment transactions are
accounted for on the trade date. Dividend income is recorded on the ex-dividend
date and interest income is recorded on the accrual basis. Interest income
includes premium and discount amortization on money market instruments; it also
includes original issue and market discount amortization on long-term debt
investments. Realized gains or losses from investment transactions are reported
on an identified cost basis.
62
<PAGE>
Notes to financial statements-(continued)
Foreign currency transactions: The books and records of each Series are
maintained in U.S. dollars. All assets and liabilities denominated in a foreign
currency are translated into U.S. dollars based upon foreign exchange rates
prevailing at the end of the period. Income and expenses and purchases and sales
of investments are translated into U.S. dollars at the rate of exchange
prevailing on the respective dates of such transactions.
Taxes: Each Series has complied with the special provisions of the Internal
Revenue Code for regulated investment companies. As such, each Series is not
subject to U.S. federal income taxes to the extent that it distributes all of
its taxable income for its fiscal year.
Withholding taxes on foreign interest have been provided for in accordance with
the applicable country's tax rates.
2. Other assets over (under) liabilities
The statement of net assets accounts "Other assets over (under) liabilities" at
June 30, 1996, consisted of the following assets (liabilities):
<TABLE>
<CAPTION>
Equity/Income Emerging Growth Global Bond
Series Series Series
------ ------ ------
<S> <C> <C> <C>
Cash $ 231,773 $ 36,871 $ 447
- ---------------------------------------------------------------------------------------
Foreign currency - - 6,603
- ---------------------------------------------------------------------------------------
Receivable for dividends earned 361,705 1,359 -
- ---------------------------------------------------------------------------------------
Receivable for interest earned 984 1,648 113,455
- ---------------------------------------------------------------------------------------
Receivable for securities sold 312,036 267,559 -
- ---------------------------------------------------------------------------------------
Receivable for capital shares sold 47,974 243,680 -
- ---------------------------------------------------------------------------------------
Payable for securities purchased (755,398) (245,267) (126,970)
- ---------------------------------------------------------------------------------------
Payable for capital shares repurchased (145,554) (61,613) -
- ---------------------------------------------------------------------------------------
Accrued expenses (56,965) (52,853) (4,223)
- ---------------------------------------------------------------------------------------
Other, net 1,950 7,725 (1,472)
- ---------------------------------------------------------------------------------------
$ (1,495) $ 199,109 $ (12,160)
=========================================
</TABLE>
3. Management fees and other transactions with affiliates
In accordance with the terms of the Investment Management Agreement, the
Equity/Income Series and Emerging Growth Series pay Delaware Management Company,
Inc. ("DMC"), the investment manager of these Series, and the Global Bond Series
pays Delaware International Advisers Ltd. ("DIAL"), the investment manager of
this Series, a fee which is calculated on the average daily net assets of each
Series, at an annual rate less fees paid to the unaffiliated directors for the
Equity/Income Series. The management fees for the Emerging Growth Series and
Global Bond Series are calculated daily on the net assets of each Series at an
annual rate without consideration of amounts paid to unaffiliated directors. The
management fee rates are as follows:
<TABLE>
<CAPTION>
Equity/Income Emerging Growth Global Bond
Series Series Series
------ ------ ------
<S> <C> <C> <C>
Management fees as a percentage of average
daily net assets (per annum) 0.60% 0.75% 0.75%
</TABLE>
63
<PAGE>
Notes to financial statements-(continued)
DMC and DIAL have elected voluntarily to waive their fees and reimburse each
Series to the extent that annual operating expenses, exclusive of taxes,
interest, brokerage commissions and extraordinary expenses, exceed 0.80% of
average daily net assets for each Series through December 31, 1996. Total
expenses absorbed by DMC and DIAL for the period ended June 30, 1996, are as
follows:
<TABLE>
<CAPTION>
Equity/Income Emerging Growth Global Bond
Series Series Series
------------- --------------- ------------
<S> <C> <C> <C>
Total expenses absorbed by DMC or DIAL -- $19,654 $3,214
</TABLE>
The Equity/Income Series, Emerging Growth Series and Global Bond Series have
engaged Delaware Service Company, Inc. ("DSC"), an affiliate of DMC, to serve as
dividend disbursing and transfer agent for each Series. For the period ended
June 30, 1996, the amounts expensed for each Series are as follows:
<TABLE>
<CAPTION>
Equity/Income Emerging Growth Global Bond
Series Series Series
------------- --------------- -----------
<S> <C> <C> <C>
Dividend disbursing and transfer agent fees and
other expenses $ 5,886 $ 1,190 $ 60
</TABLE>
On June 30, 1996, the Series had payables to affiliates as follows:
<TABLE>
<CAPTION>
Equity/Income Emerging Growth Global Bond
Series Series Series
------------- --------------- -----------
<S> <C> <C> <C>
Investment management fee payable to DMC or DIAL $36,137 $28,516 $764
Dividend disbursing and transfer agent fees and
other expenses payable to DSC 1,159 726 52
Other expenses payable to DMC and its affiliates -- -- 170
</TABLE>
Certain officers of DMC, DIAL and DDLP are officers, directors and/or employees
of the Fund. These officers, directors and employees are paid no compensation by
the Fund.
4. Analysis of net assets
The analysis of net assets at June 30, 1996, consisted of the following:
<TABLE>
<CAPTION>
Equity/ Emerging Global
Income Growth Bond
Series Series Series
------------ ----------- ----------
<S> <C> <C> <C>
Common stock par value $.01 per share* $ 85,265 $ 21,651 $ 3,486
- ---------------------------------------------------------------------------------------------------
Paid-in-capital in excess of par value of shares issued 100,624,003 27,056,278 3,484,391
- ---------------------------------------------------------------------------------------------------
Undistributed net investment income** 807,318 34,616 14,998
- ---------------------------------------------------------------------------------------------------
Undistributed net realized gain (loss) on investments** 9,064,746 995,300 4,958
- ---------------------------------------------------------------------------------------------------
Net unrealized appreciation or depreciation on investments
and foreign currencies 12,065,797 4,695,390 26,824
- ---------------------------------------------------------------------------------------------------
$122,647,129 $32,803,235 $3,534,657
=====================================
</TABLE>
*Each Series has 50,000,000 authorized shares.
**Accumulated net investment income includes net realized gains on foreign
currencies. Net realized gains on foreign currencies are distributed as net
investment income in accordance with provisions of the Internal Revenue Code.
64
<PAGE>
Notes to financial statements-(continued)
5. Investments
The aggregate cost of investments purchased, the aggregate proceeds from
investments sold, the aggregate gross unrealized appreciation, the aggregate
gross unrealized depreciation, and the net unrealized appreciation of
investments and other financial instruments for federal income tax purposes at
June 30, 1996, are as follows:
<TABLE>
<CAPTION>
Aggregate Aggregate Gross Gross Net
cost of proceeds unrealized unrealized unrealized
purchases* from sales* appreciation depreciation appreciation
------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Equity/Income Series $108,396,827 $ 9,197,446 $12,929,175 $ 958,530 $11,970,645
Emerging Growth Series 22,305,066 11,579,368 5,784,984 1,171,087 4,613,897
Global Bond Series 3,678,025 369,122 38,997 11,082 27,915
</TABLE>
*Does not include U.S. government securities and temporary cash investments.
6. Supplemental financial instrument information
Forward foreign currency contracts: The Global Bond Series may purchase or sell
forward foreign currency contracts to hedge risks of fluctuations in specific
transactions or portfolio positions. Forward foreign currency contracts obligate
the Funds to take or deliver a financial instrument of foreign currency at a
future date at a specified price. The unrealized gain or loss on the contracts
are reflected in the accompanying financial statements. The Series is subject to
the credit risks that the counterparties to these contracts will fail to
perform; although this risk is minimized by purchasing such agreements from
financial institutions with long-standing, superior performance records. In
addition, the Series is subject to the market risks associated with
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar; however, such changes in the value generally are offset by changes in
the value of the items being hedged by such contracts. Forward foreign currency
contracts that were open at June 30, 1996, were as follows:
<TABLE>
<CAPTION>
Contract In exchange Unrealized
Fund to deliver for Settlement date(s) loss
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Global Bond Series 805,297 Austrian Schillings $75,100 8/30/96 $(405)
2,355,887 Belgian Francs 75,100 8/30/96 (459)
127,783 The Netherlands Guilders 75,100 8/30/96 (157)
114,490 German Marks 75,100 8/30/96 (454)
</TABLE>
Repurchase agreements: Each Series may invest in a pooled cash account along
with other members of the Delaware Group of Funds. The aggregate daily balance
of the pooled cash account is invested in repurchase agreements secured by
obligations of the U.S. government. The respective collateral is held by each
Series' custodian bank until the maturity of the respective repurchase
agreements. Each repurchase agreement is at least 100% collateralized. However,
in the event of default or bankruptcy by the counterparty to the agreement,
realization of the collateral may be subject to legal proceedings.
7. Concentration of credit risk
Each Series may invest up to 10% of its total assets in illiquid securities
which include securities with contractual restrictions on resale, securities
exempt from registration under Rule 144A of the Securities Act of 1933, as
amended, and other securities which may not be readily marketable. The relative
illiquidity of some of these securities may adversely affect the Series' ability
to dispose of such securities in a timely manner and at a fair price when it is
necessary to liquidate such securities. These securities, if any, have been
denoted in each Series' Statement of Net Assets.
65
<PAGE>
Notes to financial statements-(continued)
The Global Bond Series invests in foreign securities. As a result, there may be
additional risks, such as the investments being subject to restrictions as to
repatriation of cash back to the United States and to political or economic
uncertainties.
Distribution of investments for the Global Bond Series by industry, as a
percentage of net assets, consisted of the following at June 30, 1996:
<TABLE>
<CAPTION>
<S> <C>
Foreign Government........................................62%
U.S. Government...........................................14
Banking....................................................7
Financial Services.........................................6
Pharmaceuticals............................................4
Utilities..................................................1
Cash and other.............................................6
----
100%
====
</TABLE>
8. Summary of changes from capital share transactions
<TABLE>
<CAPTION>
Shares issued
upon Capital Net increase
Capital reinvestment of shares resulting from capital
shares sold dividends redeemed share transactions
------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended December 31, 1995:
Equity/Income Series 1,543,303 $20,442,574 345,969 $ 4,202,181 (877,396) $(11,347,305) 1,011,876 $13,297,450
Emerging Growth Series 1,127,143 13,704,620 5,605 57,059 (367,575) (4,111,780) 765,173 9,649,899
Global Bond Series - - - - - - - -
Period ended June 30,
1996*:
Equity/Income Series 1,012,579 $14,486,850 775,633 $10,596,902 (610,273) $ (8,732,004) 1,177,939 $16,351,748
Emerging Growth Series 1,042,889 15,352,191 101,808 1,303,147 (442,549) (6,281,148) 702,148 10,374,190
Global Bond Series 347,895 3,480,236 1,029 10,428 (278) (2,786) 348,646 3,487,878
*May 2, 1996, was the date of initial public offering for the Global Bond Series.
</TABLE>
9. Distributions to shareholders
The Equity/Income Series declares dividends on net investment income quarterly
and net realized gain, if any, annually. The Emerging Growth Series declares
dividends on net investment and net realized capital gains, if any, annually.
The Global Bond Series declares dividends on net investment income monthly and
net realized gains, if any, annually.
66
<PAGE>
Financial highlights
(Selected data for each capital share outstanding throughout the year)
<TABLE>
<CAPTION>
Income from investment operations Less dividends from:
---------------------------------------------------------- ---------------------------------------------
Net Net Net
asset realized and Total asset
Year value Net unrealized from Net Net realized value
ended beginning investment gain (loss) on investment investment gain on Total end
12/31 of period income (loss) investments operations income investments dividends of period
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Equity/Income Series
1988* $10.000 $0.093 $0.067 $0.160 $ -- $ -- $ -- $10.160
1989 10.160 0.281 1.034 1.315 (0.075) -- (0.075) 11.400
1990 11.400 0.449 (1.919) (1.470) (0.560) (0.130) (0.690) 9.240
1991 9.240 0.450 1.550 2.000 (0.490) -- (0.490) 10.750
1992 10.750 0.416 0.504 0.920 (0.450) -- (0.450) 11.220
1993 11.220 0.434 1.266 1.700 (0.410) -- (0.410) 12.510
1994 12.510 0.412 (0.422) (0.010) (0.420) (0.600) (1.020) 11.480
1995 11.480 0.416 3.574 3.990 (0.430) (0.210) (0.640) 14.830
Ratio of Ratio of
expenses to Ratio of net net investment
Ratio of average net investment income to average Net assets
Year expenses assets prior income net assets prior Portfolio at end
ended Total to average to expense to average to expense turnover of period
12/31 return** net assets limitation net assets limitation rate (000's omitted)
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1988* 3.77% 2.00% 2.00% 6.40% 6.40% -- $ 1,873
1989 13.04% 1.31% 1.31% 5.06% 5.06% 26% 12,959
1990 (13.31%) 0.96% 0.96% 5.80% 5.80% 34% 29,598
1991 22.32% 0.85% 0.85% 4.46% 4.46% 79% 34,840
1992 8.82% 0.79% 0.81% 3.86% 3.84% 72% 38,278
1993 15.45% 0.75% 0.76% 3.95% 3.94% 67% 65,519
1994 (0.20%) 0.71% 0.71% 3.63% 3.63% 91% 72,725
1995 36.12% 0.69% 0.69% 3.24% 3.24% 85% 109,003
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth Series
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1993* $10.000 $ -- $ 0.200 $ 0.200 $ -- $ -- $ -- $10.200 2.00% *** *** *** *** *** $ 204
1994 10.200 0.079 (0.119) (0.040) -- -- -- 10.160 (0.39%) 0.80% 1.47% 1.63% 0.96% 59% 7,087
1995 10.160 0.098 3.852 3.950 (0.090) -- (0.090) 14.020 39.21% 0.80% 0.96% 1.03% 0.87% 76% 20,510
</TABLE>
* The date of initial public offering was July 28, 1988, for the Equity Income
Series and December 27, 1993, for the Emerging Growth Series. Ratios and
total return have been annualized for the Equity Income Series and total
return has not been annualized for the Emerging Growth Series.
** Total return percentages in this table are calculated on the basis prescribed
by the Securities and Exchange Commission. These percentages are based on the
underlying mutual fund shares in which Separate Account C, D, G and K may
invest. The total return percentages in the table are NOT calculated on the
same basis as the performance percentages notes in the letter at the front of
this booklet (those percentages are based upon the change in unit values).
***The ratios of expenses and net investment income to average net assets and
portfolio turnover have been omitted as management believes that such ratios
are not meaningful due to the limited assets of the Series.
<PAGE>
Financial highlights
(Selected data for each capital share outstanding throughout the year)
<TABLE>
<CAPTION>
Income from investment operations Less dividends from:
---------------------------------------------------------- -------------------------------------
Net Net Net
asset realized and Total asset
Period value Net unrealized from Net Net realized value
ended beginning investment gain (loss) on investment investment gain on Total end
6/30 of period income (loss) investments operations income investments dividends of period
=======================================================================================================================
EQUITY/INCOME SERIES
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1996* $14.830 $0.199 $0.776 $0.975 ($0.220) ($1.205) ($1.425) $14.380
EMERGING GROWH SERIES
1996* $14.020 $0.020 $2.000 $2.020 ($0.090) ($0.800) ($0.890) $15.150
GLOBAL BOND SERIES
1996* $10.000 $0.073 $0.097 $0.170 ($0.030) $- ($0.030) $10.140
Less Ratio of Ratio of
dividends expenses to Ratio of net net investment
from: Ratio of average net investment income to average Net assets
- --------- expenses assets prior income net assets prior Portfolio at end
Total to average to expense to average to expense turnover of period
return*** net assets limitation net assets limitation rate (000's omitted)
============================================================================================================
EQUITY/INCOME SERIES
<C> <C> <C> <C> <C> <C> <C>
7.15% O.67% 0.67% 2.86% 2.86% 102% $122,647
EMERGING GROWTH SERIES
15.57% 0.80% 0.96% 0.33% 0.17% 115% $ 32,803
GLOBAL BOND SERIES
1.70% 0.80% 1.41% 4.80% 4.19% 71% $ 3,535
</TABLE>
*Ratios and portiolio turnover have been annualized and total return has not
been annualized.
**The date of initial public offering was May 2, 1996, for the Global Bond
Series. Ratios and portfolio turnover have been annualized. Total return has
not been annualized.
***Total return percentages in this table are calculated on the basis prescribed
by the Securities and Exchange Commission. These percentages are based on the
underlying mutual fund shares in which Separate Account C, D, G and K may
invest. The total return percentages in the table are NOT calculated on the
same basis as the performance percentages notes in the letter at the front of
this booklet (those percentages are based upon change in unit values).
68
<PAGE>
Lincoln National Life Insurance Co.
1300 South Clinton Street
Fort Wayne, IN 46802
[LOGO OF LINCOLN NATIONAL LIFE INSURANCE CO.]
Fort Wayne, Indiana 46801
Form 19875SA 8/96
